N-30D 1 pvt.txt PUTNAM VARIABLE TRUST Putnam Variable Trust SEMIANNUAL REPORT June 30, 2002 * Putnam VT American Government Income Fund * Putnam VT Asia Pacific Growth Fund * Putnam VT Capital Appreciation Fund * Putnam VT Diversified Income Fund * Putnam VT The George Putnam Fund of Boston * Putnam VT Global Asset Allocation Fund * Putnam VT Global Growth Fund * Putnam VT Growth and Income Fund * Putnam VT Growth Opportunities Fund * Putnam VT Health Sciences Fund * Putnam VT High Yield Fund * Putnam VT Income Fund * Putnam VT International Growth Fund * Putnam VT International Growth and Income Fund * Putnam VT International New Opportunities Fund * Putnam VT Investors Fund * Putnam VT Money Market Fund * Putnam VT New Opportunities Fund * Putnam VT New Value Fund * Putnam VT OTC & Emerging Growth Fund * Putnam VT Research Fund * Putnam VT Small Cap Value Fund * Putnam VT Technology Fund * Putnam VT Utilities Growth and Income Fund * Putnam VT Vista Fund * Putnam VT Voyager Fund * Putnam VT Voyager Fund II A series of mutual fund portfolios for variable insurance investors [SCALE LOGO OMITTED] To the shareholders of Putnam Variable Trust The past six months have presented challenges for investors in most asset classes. The unwinding of bull-market optimism generated a powerful headwind against global equity markets. Corporate governance scandals in the United States only added to investor uncertainty, as did tensions in the Middle East and elsewhere in the world. Fixed-income markets were less negatively affected by these concerns, however, and many posted solid returns. As always, Putnam's portfolio managers used every tool at their disposal to manage risk and mitigate the effects of negative news. Management believes all the portfolios remain well diversified and well positioned to benefit when the investment environment improves. EQUITIES * United States The past six months have not been kind to U.S. equities. Despite signs of economic improvement, investors remained focused on international terrorism and conflict in the Middle East along with a series of corporate accounting scandals at home. More than one well-known company over the period was revealed to have committed outright fraud as a handful of executives misled shareholders for what appeared to be the sake of their own personal gains. In the face of such irresponsibility, equity markets were volatile and mostly in decline. Small-cap issues continued to outpace large-cap stocks, and their valuations remain attractive. Value stocks outshone growth stocks. In terms of sectors, technology and telecommunications remained weak, while selected companies in the consumer cyclicals, energy, financial, and health-care sectors delivered solid performance. * Europe European markets continued to struggle over the period, as the process of correcting bull-market excesses advanced further in Europe than in the United States. As in the United States, small-cap issues outperformed their large-cap counterparts, while value stocks outperformed growth stocks. Overall, major stock indexes declined almost as much as the Standard and Poor's 500[R] in local prices, but the falling value of the dollar mitigated the declines for U.S. dollar investors. At period's end, European equity valuations were slightly more attractive than those of U.S. stocks. * Emerging markets The upswing in global economic activity benefited many emerging markets over the period. Asian markets benefited disproportionately because much of the world's manufacturing capacity is located in the region. Many Asian companies and markets also demonstrated fundamental strength and secular improvement, which led them to outperform European markets over the period. Even Japan's market performance exceeded investors' low expectations over the period, as the country's economy benefits from a vibrant export sector and a modest improvement in consumer spending. FIXED INCOME * United States The accounting scandals that had such a deleterious effect on equities had a similar impact on corporate bonds and investors responded by seeking out high-quality investments such as U.S. Treasuries. Short-lived investor optimism about the strength of the economy did push up yields in March, although they dropped back again in April as economic news turned more negative. Indeed, risk-averse investors flocked to bonds over the period, with stronger demand for U.S. Treasuries keeping their yields in a fairly low and narrow range while pushing up prices. Mortgage-backed securities performed quite well, while investment-grade corporates suffered from credit-specific problems and a bit of fallout from the corporate accounting scandals. * Global A falling dollar and strengthening economies helped support performance among international bond markets. Numerous central banks raised interest rates over the period, including Canada, New Zealand, Sweden, and Australia. Rising interest rates pressured bond markets, although underlying economic strength and a favorable exchange rate proved more influential in enabling these markets to advance. Emerging-market bonds performed very well, with Russia, Mexico, and Brazil turning in particularly strong returns. * High yield High yield bonds held their own during the period, turning in respectable performance. The choppy economic recovery, additional defaults among issuers, and indirect fallout from the poor performing stock market presented challenging conditions. However, fundamentals appear to be improving and many analysts believe default rates may finally have peaked. Media, cable, broadcasting, gaming, and lodging were among the sector's top-performing areas. The views expressed here are exclusively those of Putnam Management. They are not meant as investment advice and are subject to change.
PERFORMANCE SUMMARY ----------------------------------------------------------------------------------------------------------------------------------- Total return at net asset value (as of 6/30/02) Five years 10 years Life Putnam VT -- Class IA shares 6 months 1 year Cumulative Annualized Cumulative Annualized Cumulative Annualized ----------------------------------------------------------------------------------------------------------------------------------- American Government Income Fund 3.68% 8.54% --% --% --% --% 24.17%[l] 9.37% ................................................................................................................................... Asia Pacific Growth Fund 4.59 -9.46 -30.32 -6.97 -- -- -16.96[g] -2.56 ................................................................................................................................... Capital Appreciation Fund -15.60 -22.08 -- -- -- -- -34.00[n] -21.08 ................................................................................................................................... Diversified Income Fund 1.48 3.59 11.04 2.12 -- -- 44.32[e] 4.26 ................................................................................................................................... The George Putnam Fund of Boston -3.70 -4.50 -- -- -- -- 10.07[i] 2.33 ................................................................................................................................... Global Asset Allocation Fund -4.68 -7.85 11.58 2.22 118.99 8.15 227.28[b] 8.58 ................................................................................................................................... Global Growth Fund -13.25 -22.83 -9.49 -1.97 80.89 6.11 99.45[c] 5.84 ................................................................................................................................... Growth and Income Fund -9.00 -13.59 16.07 3.02 166.53 10.30 398.03[b] 11.78 ................................................................................................................................... Growth Opportunities Fund -21.28 -31.81 -- -- -- -- -58.20[l] -30.30 ................................................................................................................................... Health Sciences Fund -14.84 -18.52 -- -- -- -- 0.30[i] 0.07 ................................................................................................................................... High Yield Fund -2.91 -1.32 -0.43 -0.09 74.62 5.73 170.80[b] 7.16 ................................................................................................................................... Income Fund[a] 3.17 6.89 34.22 6.06 92.63 6.78 191.12[b] 7.70 ................................................................................................................................... International Growth Fund -3.54 -10.46 32.63 5.81 -- -- 53.45[h] 8.11 ................................................................................................................................... International Growth and Income Fund 2.32 -5.35 17.74 3.32 -- -- 36.22[h] 5.79 ................................................................................................................................... International New Opportunities Fund -1.22 -8.67 -9.00 -1.87 -- -- 1.65[h] 0.30 ................................................................................................................................... Investors Fund -15.38 -24.90 -- -- -- -- -21.04[i] -5.51 ................................................................................................................................... Money Market Fund 0.76 2.23 25.78 4.69 54.89 4.47 108.23[b] 5.22 ................................................................................................................................... New Opportunities Fund -21.12 -32.53 -3.68 -0.75 -- -- 83.07[f] 7.69 ................................................................................................................................... New Value Fund -6.73 -10.90 32.54 5.80 -- -- 48.31[h] 7.44 ................................................................................................................................... OTC & Emerging Growth Fund -21.10 -37.75 -- -- -- -- -51.91[i] -16.11 ................................................................................................................................... Research Fund -14.64 -22.53 -- -- -- -- 3.97[j] 1.04 ................................................................................................................................... Small Cap Value Fund 3.11 4.92 -- -- -- -- 57.44[k] 15.41 ................................................................................................................................... Technology Fund -28.94 -40.43 -- -- -- -- -69.80[m] -44.31 ................................................................................................................................... Utilities Growth and Income Fund -15.48 -25.98 5.14 1.01 91.85 6.73 92.61[d] 6.66 ................................................................................................................................... Vista Fund -19.30 -31.03 5.31 1.04 -- -- 16.26[h] 2.78 ................................................................................................................................... Voyager Fund -16.58 -24.99 20.99 3.88 204.11 11.76 454.04[b] 12.61 ................................................................................................................................... Voyager Fund II -18.88 -32.22 -- -- -- -- -59.60[n] -40.33 -----------------------------------------------------------------------------------------------------------------------------------
Past performance does not indicate future results. More recent returns may be less or more than those shown. Investment returns and principal value will fluctuate and you may have a gain or a loss when you sell your units. All total return figures are at net asset value. The charges and expenses at the insurance company separate account level are not reflected. [a] Prior to April 9, 1999, the underlying fund operated as Putnam VT U.S. Government and High Quality Bond Fund. [b] Commencement of operations: February 1, 1988. [c] Commencement of operations: May 1, 1990. [d] Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992. [e] Commencement of operations: September 15, 1993. [f] Commencement of operations: May 2, 1994. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [g] Commencement of operations: May 1, 1995. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [h] Commencement of operations: January 2, 1997. Expense limitations were in effect for these funds during the period; without the limitations, total returns would have been lower. [i] Commencement of operations: April 30, 1998. Expense limitations were in effect for The George Putnam Fund of Boston, Health Sciences Fund, Investors Fund, and OTC & Emerging Growth Fund during the period; without the limitations, total returns would have been lower. [j] Commencement of operations: September 30, 1998. An expense limitation was in effect for this fund during the period; without the limitation, total return would have been lower. [k] Commencement of operations: April 30, 1999. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [l] Commencement of operations: February 1, 2000. An expense limitation was in effect for American Government Income Fund during the period; without the limitation, total return would have been lower. [m] Commencement of operations: June 14, 2000. [n] Commencement of operations: September 29, 2000.
PERFORMANCE SUMMARY ----------------------------------------------------------------------------------------------------------------------------------- Total return at net asset value (as of 6/30/02) Five years 10 years Life Putnam VT -- Class IB shares 6 months 1 year Cumulative Annualized Cumulative Annualized Cumulative Annualized ----------------------------------------------------------------------------------------------------------------------------------- American Government Income Fund 3.55% 8.22% --% --% --% --% 23.66%[l] 9.19% ................................................................................................................................... Asia Pacific Growth Fund 4.31 -9.79 -31.02 -7.16 -- -- -18.06[g] -2.74 ................................................................................................................................... Capital Appreciation Fund -15.77 -22.34 -- -- -- -- -34.30[n] -21.28 ................................................................................................................................... Diversified Income Fund 1.28 3.29 9.88 1.90 -- -- 41.95[e] 4.07 ................................................................................................................................... The George Putnam Fund of Boston -3.77 -4.75 -- -- -- -- 9.42[i] 2.18 ................................................................................................................................... Global Asset Allocation Fund -4.77 -8.07 11.13 2.13 116.41 8.03 221.47[b] 8.44 ................................................................................................................................... Global Growth Fund -13.44 -22.99 -10.30 -2.15 77.99 5.93 95.54[c] 5.67 ................................................................................................................................... Growth and Income Fund -9.08 -13.79 15.13 2.86 162.45 10.13 387.25[b] 11.62 ................................................................................................................................... Growth Opportunities Fund -21.36 -31.92 -- -- -- -- -58.40[l] -30.44 ................................................................................................................................... Health Sciences Fund -14.96 -18.71 -- -- -- -- -0.37[i] -0.09 ................................................................................................................................... High Yield Fund -2.96 -1.49 -1.02 -0.21 72.39 5.60 165.60[b] 7.01 ................................................................................................................................... Income Fund[a] 3.03 6.58 33.15 5.89 89.68 6.61 184.96[b] 7.54 ................................................................................................................................... International Growth Fund -3.57 -10.65 31.70 5.66 -- -- 52.20[h] 7.95 ................................................................................................................................... International Growth and Income Fund 2.14 -5.53 16.93 3.18 -- -- 35.14[h] 5.64 ................................................................................................................................... International New Opportunities Fund -1.35 -8.92 -9.70 -2.02 -- -- 0.76[h] 0.14 ................................................................................................................................... Investors Fund -15.44 -25.14 -- -- -- -- -21.60[i] -5.67 ................................................................................................................................... Money Market Fund 0.63 1.97 24.83 4.54 53.81 4.40 107.43[b] 5.19 ................................................................................................................................... New Opportunities Fund -21.21 -32.68 -4.50 -0.92 -- -- 80.70[f] 7.52 ................................................................................................................................... New Value Fund -6.88 -11.18 31.58 5.64 -- -- 47.07[h] 7.28 ................................................................................................................................... OTC & Emerging Growth Fund -21.20 -37.90 -- -- -- -- -52.22[i] -16.24 ................................................................................................................................... Research Fund -14.76 -22.81 -- -- -- -- 3.20[j] 0.84 ................................................................................................................................... Small Cap Value Fund 2.90 4.57 -- -- -- -- 56.37[k] 15.16 ................................................................................................................................... Technology Fund -29.25 -40.71 -- -- -- -- -70.00[m] -44.49 ................................................................................................................................... Utilities Growth and Income Fund -15.56 -26.18 4.39 0.86 89.01 6.57 89.76[d] 6.51 ................................................................................................................................... Vista Fund -19.40 -31.23 4.57 0.90 -- -- 15.32[h] 2.63 ................................................................................................................................... Voyager Fund -16.67 -25.19 20.01 3.72 199.42 11.59 442.04[b] 12.44 ................................................................................................................................... Voyager Fund II -18.91 -32.38 -- -- -- -- -59.70[n] -40.41 -----------------------------------------------------------------------------------------------------------------------------------
Past performance does not indicate future results. More recent returns may be less or more than those shown. Investment returns and principal value will fluctuate and you may have a gain or a loss when you sell your units. All total return figures are at net asset value. The charges and expenses at the insurance company separate account level are not reflected. Periods and performance for class IB shares before their inception are derived from the historical performance of class IA shares. See financial highlights for class IB commencement of operations. [a] Prior to April 9, 1999, the underlying fund operated as Putnam VT U.S. Government and High Quality Bond Fund. [b] Commencement of operations: February 1, 1988. [c] Commencement of operations: May 1, 1990. [d] Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992. [e] Commencement of operations: September 15, 1993. [f] Commencement of operations: May 2, 1994. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [g] Commencement of operations: May 1, 1995. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [h] Commencement of operations: January 2, 1997. Expense limitations were in effect during the period; without the limitations, total returns would have been lower. [i] Commencement of operations: April 30, 1998. Expense limitations were in effect for The George Putnam Fund of Boston, Health Sciences Fund, Investors Fund, and OTC & Emerging Growth Fund during the period; without the limitations, total returns would have been lower. [j] Commencement of operations: September 30, 1998. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [k] Commencement of operations: April 30, 1999. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [l] Commencement of operations: February 1, 2000. An expense limitation was in effect for American Government Income Fund during the period; without the limitation, total return would have been lower. [m] Commencement of operations: June 14, 2000. [n] Commencement of operations: September 29, 2000. Putnam VT American Government Income Fund Throughout the past six months, as the stock market remained highly volatile, investors continued to favor the relative safety of fixed-income investments. During the second quarter particularly, bond yields dropped substantially and most fixed-income sectors performed well. For the six months ended June 30, 2002, Putnam VT American Government Fund's class IA shares provided a total return of 3.68% at net asset value. The fund's management team used all of the tools at its disposal to deliver competitive performance during the period. For example, the team was very aggressive in managing the fund's duration, a measurement of sensitivity to changes in interest rates. In addition, management took advantage of opportunities in the mortgage-backed securities market, adding to that sector to the point that mortgages comprised over one half of fund assets by the end of the period. During the early months of 2002, many bond market participants had started to believe that economic recovery would be so strong and swift that the Federal Reserve Board would have to step in and bring short-term rates up from historically low levels. Management disagreed, believing rates would trend lower as a slower recovery progressed. In response, they increased the fund's duration and maintained an overweighted position in mortgage-backed securities. Looking at the fund's mortgage investments, management favored 30-year Fannie Mae mortgage pass-throughs with coupon rates of 6.5%, finding that they were well insulated against prepayment activity. When mortgage holders pay off their mortgages early, mortgage bondholders must reinvest the redeemed assets at lower prevailing rates. The team also found opportunities among 6% Freddie Mac interest-only strips. These securities are derived from underlying mortgage-backed securities; the fund receives only the interest they produce and does not purchase the mortgage principal. The decision to add to the portfolio's mortgage position proved fruitful. When bond yields fell considerably during the second quarter of 2002, these "credit sector" holdings contributed significantly to returns. Management will continue to focus on unearthing further opportunities in the mortgage-backed sector in the months ahead, because of its belief that this sector generally offers higher yields than Treasuries and tends to perform well in a stable interest-rate environment. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Current income consistent with preservation of capital ------------------------------------------------------------------------ PORTFOLIO U.S. Treasury securities and mortgage-backed securities ------------------------------------------------------------------------ NET ASSET VALUE Class IA $11.74 Class IB $11.71 June 30, 2002 ------------------------------------------------------------------------ Government securities guarantee principal and interest; mutual funds that invest in these securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Putnam VT Asia Pacific Growth Fund* The challenges of the pre- and post-September 11th environment gave way to more favorable conditions for Asian equity markets starting late in 2001, even as stocks in other regions declined. For the six months ended June 30, 2002, Putnam VT Asia Pacific Growth Fund class IA shares posted a total return of 4.59% at net asset value. Many Asian companies and markets demonstrated fundamental strength and secular improvement over the period. Management also made top-down decisions to favor markets and sectors that performed quite well over the period. South Korea was Asia's top-performing major market during the period (Pakistan was the best). The fund was overweighted there, and enjoyed strong gains from its technology and telecommunications holdings. Management continues to find value in South Korean stocks, which remain attractively priced despite increasing investor attention during the period. The fund also emphasized Australia, where consumer-oriented and financial stocks stocks were the fund's top performers. The Japanese market lagged other Asian markets over the period, and this dampened fund performance. Although Japanese stocks represented the largest absolute market weighting in the fund during the period, this reflects Japan's status as Asia's largest stock market. The fund maintained an underweight position in Japan relative to its benchmark. Japanese holdings were diversified, with several large positions in consumer cyclicals, consumer staples, and pharmaceutical companies. The fund's financial services holdings were hampered by credit-quality concerns.The team did not emphasize domestically-oriented companies, which hurt in the first half as hope sprang up once again that the 10-year Japanese recession could be over. Although the acceleration of the global economy is beneficial to many Japanese companies, others face sluggish domestic demand and stand in need of restructuring or industry consolidation. The management team considers the yen/dollar relationship unsustainable and is emphasizing consumer cyclicals such as electronic games companies and autos, which should benefit from the expected yen weakening. In terms of sectors and countries, the fund remains underweighted in Japan and Hong Kong equities, and management continues to favor South Korea and Australia. Management believes that these markets have what the fund targets: globally competitive companies with stocks priced below their worth. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks of companies located in Asia and the Pacific Basin ------------------------------------------------------------------------ NET ASSET VALUE Class IA $5.41 Class IB $5.37 June 30, 2002 ------------------------------------------------------------------------ International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. The fund concentrates its investments in one region or in one sector and involves more risk than a fund that invests more broadly. * This fund has been scheduled for merger and is closed to new investors. For more information, see page 236. Putnam VT Capital Appreciation Fund Given the backdrop of war, terrorism, and corporate accounting scandals, it is no surprise that the past six months proved to be a difficult period for the stock market and Putnam VT Capital Appreciation Fund. Despite some problems encountered by specific holdings, including some in the battered technology sector, the management team remains convinced that a consistent investment approach helped limit losses and should help lead to improved returns over the long term. For the six months ended June 30, 2002, the fund's class IA shares returned -15.60% at net asset value. While overall stock market performance was generally poor during the period, sharp drops in the technology sector led the declines. In addition, a longer-than-anticipated economic slowdown also restrained the overall market while excess capacity across a number of industries makes it difficult for many companies to meet earnings estimates. Although the fund maintained an underweight position in the technology sector relative to its benchmark index and avoided the hard-hit telecommunications equipment companies, a number of the fund's tech holdings suffered declines during the period. Nevertheless, the team remains confident that these companies offer the kind of strong cash flow and solid management teams that should enable them to post an earnings rebound in a more favorable environment. The fund's consistent investment approach emphasizes identifying the underlying value of individual firms without a bias toward particular industries or sectors. Over the period, this approach enabled the team to identify some solid performers in health care, resulting in an overweight position in this sector. The fund avoided pharmaceutical companies-- a fortuitous move, since this area struggled during the period-- and instead focused on those companies offering health services, including hospital operators and health maintenance organizations (HMOs). The fund also profited from investments in the retail sector, particularly smaller companies in those pockets of the sector that tend to be more economically sensitive. An underweight position in the overvalued consumer staples sector also helped performance, as did one particular consumer staples holding that provided significant gains. With a choppy stock market and the future course of growth uncertain, the team believes that the fund's diversified portfolio and disciplined stock selection process can offer valuable advantages to investors in the months ahead. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks selected on the basis of their underlying worth, without a style bias toward either growth or value ------------------------------------------------------------------------ NET ASSET VALUE Class IA $6.60 Class IB $6.57 June 30, 2002 ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT Diversified Income Fund The past six months have been a time of relatively strong performance in the bond market. As stocks floundered amid the uncertainties of terrorism, Middle East tensions, and corporate accounting problems, investors sought the relative safety of bonds. The results are reflected in the performance of Putnam VT Diversified Income Fund for the six months ended June 30, 2002. The fund's class IA shares turned in a total return of 1.48% at net asset value. Just as the overall market began to embrace the idea of an economic turnaround at the start of 2002, a new bout of investor risk aversion took hold in response to the Enron bankruptcy. Questionable corporate accounting practices and credit concerns following Enron's collapse drove down corporate bond prices but increased demand for U.S. government securities. However, increasingly robust economic data in January and February once again turned investors' attention toward growth, and the investment-grade sector sold off in March while high-yield bonds performed strongly. International bond markets, pressured by signs of a global economic recovery, advanced only modestly. However, the improved economic outlook, rising oil prices, and attractive valuations of emerging-market bonds boosted returns in this sector. Early in the period, the fund's high-yield bonds led performance; later, equity market declines and corporate accounting scandals dampened high-yield returns considerably, taking away previous gains. The fund enjoyed strong performance throughout the period from its emerging-market bonds. In particular, positions in Russia, Mexico, and Brazil were positive contributors to performance. Bonds in the international developed markets had a mixed impact on results. Within the fund's investment-grade holdings, low returns on U.S. government Treasuries dampened performance somewhat, while holdings of mortgage-backed securities performed quite well, especially during the second quarter of 2002. During the six-month period, the volatility of markets and varying performance among different sectors illustrates the value of a diversified portfolio such as this one. Investor uncertainty continues to fuel strong returns on many fixed-income investments, but even as the economy strengthens and uncertainty gives way to confidence, management believes that this portfolio remains well-positioned for positive performance. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE High current income consistent with preservation of capital ------------------------------------------------------------------------ PORTFOLIO A managed asset allocation portfolio spread across all three sectors of the bond market-- U.S. government and corporate investment-grade securities, high-yield bonds, and international instruments ------------------------------------------------------------------------ NET ASSET VALUE Class IA $8.17 Class IB $8.11 June 30, 2002 ------------------------------------------------------------------------ Lower rated bonds may offer higher yields in return for more risk. International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Government securities guarantee principal and interest; mutual funds that invest in these securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Putnam VT The George Putnam Fund of Boston In a period marked by war, terrorism, and somewhat slower-than-expected economic recovery, Putnam VT The George Putnam Fund of Boston demonstrated remarkable resilience. The fund's strategy, which emphasizes a balanced portfolio of bonds and value stocks, helped limit losses in a very challenging environment. For the six months ended June 30, 2002, the fund's class IA shares provided a total return of -3.70% at net asset value. With the exception of March, when stocks outperformed bonds, the portfolio enjoyed stronger performance from its bond holdings for most of the period. When markets are weak and volatile as they have been for some time now, investors generally prefer the relative safety of bonds and the stable stream of income they offer. The fund continues to allocate about 40% of assets to a diverse array of investment-grade bonds, including U.S. Treasuries, U.S. government agency bonds, mortgage-backed securities, and corporate debt. Performance was also supported by the portfolio's slight exposure to higher-yielding bonds, which held their ground and continued to outperform the struggling equity market. On the stock side, an overweighting in basic materials among paper stocks contributed to performance. Electric utilities, a high yielding, growth-related industry that is outperforming many other utilities sectors, was also a positive contributor. The portfolio has very little exposure to long-distance telephone company stocks, which are struggling against strong competition from cellular and regional Bell operating companies. Select technology stocks have added to performance, as has the portfolio's very low weighting in this still-challenged sector. Overall, a bias toward mid-cap and lower large-cap stocks has also helped performance. In recent months, management has been repositioning the portfolio to weight stocks a bit more heavily, particularly attractively priced, larger-cap issues. With the SEC reviewing fourth quarter reports from every company in the Standard & Poor's[R] 500, management has been able to add some value-priced companies with positive long-term potential to the portfolio. To fund these new purchases, the fund has sold some of its non-telecom investment grade bonds at profitable prices. The management team believes the fund is now positioned well to benefit from additional economic recovery. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital growth and current income ------------------------------------------------------------------------ PORTFOLIO Value-oriented stocks of large companies and government, corporate and mortgage-backed bonds ------------------------------------------------------------------------ NET ASSET VALUE Class IA $10.09 Class IB $10.06 June 30, 2002 ------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund After starting the period with optimism in the strength of economic recovery and a rebound in the stock market, investors turned more pessimistic. Concerns about terrorism, corporate accounting irregularities, and global tensions made it difficult for investors to focus on the economy's fundamental strengths. In this environment, the diversified portfolio that underlies Putnam VT Global Asset Allocation Fund helped reduce the impact of the declines in many sectors. For the six months ended June 30, 2002, the fund's class IA shares posted a total return of -4.68% at net asset value. The value of diversification was evident amid the challenges of the past six months, not just between stocks and bonds, but also within the equity and bond markets. While stocks enjoyed strength in the final months of 2001 and into the beginning of 2002, geopolitical uncertainties around the world soon led investors to shun risk and seek the relative safety of fixed-income investments and the steady income they provide. Two main strategic moves enabled the fund to maintain relative stability amid this difficult environment. First, management reduced the funds' equity allocations to a neutral weighting after capitalizing on valuation opportunities created by market declines in the fall. This allowed returns from the fixed-income components to somewhat buffer the impact of equity volatility. Second, the team concentrated the equity allocation in the best-performing equity sectors. These included focuses on small- and mid-cap stocks, rather than large-cap issues that bore the brunt of investors' wrath over corporate governance issues; value stocks rather than still-suffering growth stocks; and international equities more than U.S. equities. Within the fixed-income portions of the portfolios, management has been favoring the more credit-sensitive sectors, including convertible bonds and high-yield bonds. These bonds performed well, and the funds' strong weighting in high-yield bonds was particularly beneficial to performance. International bonds also generated solid returns as an improved economic outlook and lingering distrust for corporate accounting practices in the United States increased demand for these bonds. Among developed market international bonds, management continues to steer clear of Japanese bonds. In the months ahead, the team will continue to monitor the markets and global economies carefully, adjusting portfolio allocations as needed in an effort to maximize performance while managing risk. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE A high level of long-term total return consistent with preservation of capital ------------------------------------------------------------------------ PORTFOLIO A managed asset allocation portfolio spread across domestic and international stock , bond and cash investments ------------------------------------------------------------------------ NET ASSET VALUE Class IA $12.51 Class IB $12.52 June 30, 2002 ------------------------------------------------------------------------ International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Putnam VT Global Growth Fund After several difficult periods, market conditions became a bit more favorable for growth investors during the six months ended June 30, 2002. Although Putnam VT Global Growth Fund experienced strong performance from several portfolio holdings, it underperformed due to the disappointing performance of a single investment that offset the fund's positive contributions. For the six-month period, the fund's Class IA shares provided a total return of -13.25% at net asset value. Much of the fund's profitable holdings derived from an unusual source, one that is not typically a factor in high-growth investment funds-- the consumer. A high level of consumer confidence and spending made the companies that manufacture and sell products for consumer markets relatively attractive options for the portfolio. The best performance came from auto manufacturers, specifically foreign carmakers; large, brand name retailers that tend to dominate consumer markets in times of economic uncertainty; and travel and entertainment companies. The positive impact of these consumer holdings could have been even greater if not for the poor performance of one media holding that labored under the effects of a protracted downturn in advertising revenues. Approximately 10% of the portfolio's assets were committed to investments in the technology and telecommunications sectors over the period. This was slightly up from the previous period, but down from a high of almost 50% in 2000. Most of this year's allocation was concentrated in technology companies; with no near-term recovery in sight for the telecommunications sector, management trimmed the portfolio's position substantially. The team saw the most promise in the strengthening market for semiconductors, and invested in three companies that turned out to be outstanding performers. One of the bigger trends in the fund has been the shift away from pharmaceutical companies as a series of high-profile disappointments, pipeline delays, and the profit erosion caused by generic drugs have combined to make these companies far less attractive as growth investments. The portfolio's best-performing health-care investments over the period were an HMO company and a company that buys, sells, and owns general, acute-care, and specialty hospitals and related health-care facilities. Management believes that the U.S. economy appears to be gaining strength, and this bodes well for other economies around the globe. However, as always, management continues to monitor global markets and economic sectors carefully in search of high-quality stocks. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO An internationally diversified common stock portfolio of large and midsize companies ------------------------------------------------------------------------ NET ASSET VALUE Class IA $8.08 Class IB $8.02 June 30, 2002 ------------------------------------------------------------------------ International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Putnam VT Growth and Income Fund Equity markets remained volatile during the past six months as the Enron accounting scandal, extreme tensions in the Middle East, and the continuing war on terrorism contributed to investors' uncertainty. Nevertheless, signs of economic recovery emerged, and many of the portfolio's blue-chip holdings provided encouraging returns. The fund's value orientation, along with an underweight position in the telecom sector, careful stock selection in technology, and an overweight position in consumer staples stocks helped limit the impact of the market volatility. For the six months ended June 30, 2002, Putnam VT Growth and Income Fund's class IA shares provided a total return of -9.00% at net asset value. The portfolio's return reflects the mixed results of a challenging period in which every industry had its share of winners and losers. Careful stock selection in technology meant avoiding securities whose main line of revenue is from supply to the telecommunications sectors. Although the fund's exposure to telecommunications stocks was minimal, losses from holdings in this declining sector did dampen returns. Several pharmaceutical holdings also provided disappointing returns over the period, with the notable exception of one long-time holding that the management team sold at a handsome profit. Stocks of many pharmaceutical companies declined in recent months as several widely used drugs lost their patent protection in 2001, and the FDA's new, more stringent drug approval process considerably slowed the influx of new drugs to the market. As a result of Enron's rapid and unexpected decline, corporate balance sheets now routinely undergo far more exhaustive review by investors, banks, and debt-rating agencies. Given this scrutiny, the rating agencies have been more likely to downgrade a company's debt rating or place it on a watch list. This has contributed to the volatility of stock prices. In some cases, the management team feels the market has unduly punished high-quality companies. This has provided them with opportunities to buy or add to positions in attractive companies at compelling valuations. In the current environment of somewhat sluggish economic recovery, management believes the market will favor conservative investments, such as the high-quality, dividend-paying stocks in which this fund invests. The fund's core holdings are designed to provide stability even in volatile times like these, while positions in economically sensitive sectors should enable the portfolio to benefit from economic improvements. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital growth and current income ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of large companies across an array of industries. ------------------------------------------------------------------------ NET ASSET VALUE Class IA $21.01 Class IB $20.92 June 30, 2002 ------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund For the most part, the past six months have been difficult for growth stock investors. The war on terrorism, ongoing problems in the Middle East, and a sluggish economic recovery have provided somewhat less than optimal conditions for growth stock performance. Nonetheless, there have been pockets of strength, and Putnam VT Growth Opportunities Fund has done its best to capitalize upon them while seeking to limit losses. For the six months ended June 30, 2002, the fund's class IA shares tallied a total return of -21.28% at net asset value. The fund focuses on large growth companies, which have been among the hardest hit in this difficult environment. These firms experienced tremendous gains during the boom years of the late 1990s, but when the economy began to sputter in 2000, these companies, many with diverse lines of business and huge infrastructure needs, were particularly vulnerable. Their revenues declined while their costs continued to rise. Profits plunged, and their share prices fell accordingly. March brought a respite from these challenges, as renewed confidence in the economy helped spur an uptick in the stock market and strong performance by a number of fund holdings. The fund's financial and technology holdings performed particularly well, with brokerage firm and semiconductor stocks leading returns in these sectors. An overweight position in the financial sector and superior stock selection in this area benefited overall fund performance. Unable to sustain its rally, the stock market fell back again in April and remained volatile for the rest of the period. Stock selection, rather than sector weighting, was the key to fund performance during these relatively trendless months. Holdings in consumer areas including media and retailing performed well, as did health care services stocks including HMOs and hospitals. Overall, technology was a positive contributor to fund performance throughout the period, although several of the fund's weakest performers were also in the technology area. Pharmaceutical stocks remained troubled by unending questions concerning patent expirations, new product approvals, and manufacturing capabilities. Large capitalization growth stocks remain challenged by low earnings rates, negative sentiment toward large, complex companies, and a slow economic recovery. As time begins to resolve these issues, management believes this fund is well positioned in strong, leading companies that stand to perform well in an improving environment. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of large companies believed to offer strong growth potential ------------------------------------------------------------------------ NET ASSET VALUE Class IA $4.18 Class IB $4.16 June 30, 2002 ------------------------------------------------------------------------ The fund concentrates its assets in fewer stocks, which can affect your fund's performance. Putnam VT Health Sciences Fund After a rally late in 2001, stocks again lost favor among investors concerned with terrorist threats, ongoing trouble in the Middle East, escalating tensions between India and Pakistan, and other issues that raised uncertainties about the viability of the economic recovery. As a more defensive sector, health care enjoyed some popularity among conservative-minded investors, although the sector labored under its own challenges as well. For the six months ended June 30, 2002, Putnam VT Health Sciences Fund's class IA shares provided a total return of -14.84% at net asset value. The fund is diversified across a range of health-care companies in industries such as biotechnology, medical services, managed care, and medical technology. However, during the period, the bulk of the portfolio was invested in pharmaceutical companies, which have faced a number of challenges recently, including disappointing sales for some highly anticipated drugs. One of the tougher problems the pharmaceutical industry faces is a stricter Food and Drug Administration (FDA). Since 1996 and 1997, when a few newly approved drugs encountered problems, the FDA has adopted a more deliberate pace of testing, trials, and approvals. The result is that new drugs are taking longer to reach the market. At the same time, the branded drugs currently on the market have come under increasing pressure from upcoming patent expirations and a generic drug industry that is growing in both size and strength. Despite these challenges, a number of large-cap pharmaceutical holdings delivered strength over the period. The holdings that struggled most were specialty pharmaceutical companies, particularly those at risk of losing patent protection, and generic drug companies. In other sectors, a number of stocks delivered gains, thanks to increasing demand for their innovative products and treatments. These included medical technology companies that develop, manufacture, and market specialty surgical and medical products, a company that makes blood products, vaccines, hemodialysis machines and dialyzers, a firm that makes medical supplies, devices, diagnostic systems, and a manufacturer of laser vision-correction systems. Biotechnology holdings delivered disappointing returns, although management remains convinced of the sector's long-term potential. Despite recent challenges to the pharmaceutical industry, management remains optimistic about the long-term prospects for the health-care sector. A number of demographic trends should continue to provide opportunities to the diversified health-care industry for years to come. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of companies in the health sciences industries ------------------------------------------------------------------------ NET ASSET VALUE Class IA $10.00 Class IB $9.95 June 30, 2002 ------------------------------------------------------------------------ The fund concentrates its investments in one group of industries and involves more risk than a fund that invests more broadly. Putnam VT High Yield Fund In a challenging period marked by continued geopolitical turmoil, corporate accounting problems in the United States, and a nascent economic recovery that halted the Federal Reserve Board's series of interest rate reductions, the Putnam VT High Yield Fund management team sought to minimize the impact of market declines while positioning the portfolio to benefit from opportunities. For the six months ended June 30, 2002, the fund's class IA shares posted a total return of -2.91% at net asset value. After September 11, high-yield bond prices fell sharply, as did prices for practically every asset class and market sector except the highest-quality bonds, short-term U.S. Treasuries. By the end of 2001, the high-yield sector appeared to stabilize somewhat and finished the year well ahead of major equity indexes. Thus far in 2002, the high-yield sector has held its ground and continued to outperform the struggling equity market. As a result of the Enron accounting scandal, credit quality and corporate financial health have become important in 2002 in a way that has not been the case for many years. It also appears that default rates in the high-yield market have finally peaked after a long period of uncertainty. While defaults remain high currently, management believes that once they decline as analysts expect, the stronger corporate balance sheets built through the new corporate focus on fundamental financial health should help keep defaults down in the future. Last fall, management increased the fund's weightings in several sectors that had been beaten down after September 11, including media, cable, broadcasting, airlines, gaming, and lodging. This contrarian strategy paid off during the past six months, as the bonds in these sectors have seen solid performance since they acquired them. The team believes there are several reasons-- in addition to an expected decline in defaults-- to be optimistic about high-yield performance going forward. First, money has flowed into this market both from individual and institutional investors. Second, short-term rates remain historically low, giving investors incentive to take on more risk in order to receive higher yields. Despite a positive year last year, high-yield bonds are still attractively valued. Finally, after several years of focusing solely on growth, the renewed emphasis on reducing debt should result in higher credit quality. There are risks, as always. Management remains acutely aware of these risks and will continue to make adjustments to the fund as changing market and economic conditions require. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE High current income, with a secondary objective of capital growth ------------------------------------------------------------------------ PORTFOLIO Primarily high-yielding corporate bonds rated below investment-grade ------------------------------------------------------------------------ NET ASSET VALUE Class IA $6.91 Class IB $6.90 June 30, 2002 ------------------------------------------------------------------------ Lower rated bonds may offer higher yields in return for more risk. Putnam VT Income Fund After two consecutive years of strong returns that far outpaced those in the volatile equity markets, the bond market became quite choppy during the past six months. However, the trend of 2001 and 2002 ultimately resumed this year and Putnam VT Income Fund delivered strong positive returns in the face of poor equity markets. For the six months ended June 30, 2002, the fund's class IA shares posted a total return of 3.17% at net asset value. Since November, the bond market has been more volatile than normal, as uncertainty about the strength and timing of the recovery has caused mixed reactions to economic reports. These reports, in turn, have been varied and inconclusive. In addition, corporate accounting scandals have caused investors to become increasingly concerned about the ability of companies to make their interest payments. The period finished on a particularly negative note for corporate bonds with the news of the criminal investigation at Worldcom. Nevertheless, Treasury yields fell and both the government and mortgage-backed sectors delivered attractive absolute returns for the period. The fund's performance reflects effective decisions about what not to own as well as what to buy and hold. When rates rose, short- and intermediate-maturity Treasury bonds were the hardest hit, while the corporate sector was hurt by the accounting scandal. The management team had taken steps to reduce the fund's weightings in these sectors during the period, which proved beneficial. The fund's mortgage-backed securities holdings also contributed positively to performance. In the corporate market, the team pared back holdings and stayed keenly aware of problem bond issues, thereby freeing the fund from significant exposure to bonds that experienced difficulties. Corporate sectors including banking and brokerage, along with some industrial bonds, have been performing well for some time. The management team sold several of these holdings and allocated the proceeds to 30-year Treasuries and mortgage- and asset-backed sectors, which they believe can still benefit from this market and economic environment. After strong performance in the early part of the year, they reduced the fund's holdings of BB-rated corporate bonds, which performed very poorly in the second quarter. In the current environment of choppy, somewhat slow economic recovery, management believes the fund is well positioned, with an overweighted position (relative to its benchmark index) in mortgage-backed and BB-rated corporate bonds, and its underweighted positions in corporate investment-grade bonds and short-term Treasuries. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE High current income consistent with a prudent level of risk ------------------------------------------------------------------------ PORTFOLIO Investment-grade and high-yield bonds, and U.S. government securities ------------------------------------------------------------------------ NET ASSET VALUE Class IA $12.36 Class IB $12.31 June 30, 2002 ------------------------------------------------------------------------ Putnam VT International Growth Fund The global economic recovery that seemed to be building during the initial months of 2002 grew more fragile as the period continued, dampening equity returns in several international markets. On the positive side, a weakening dollar benefited holders of international stocks and mutual funds like this one. Stock selection and prudent sector and country weightings enabled Putnam VT International Growth Fund to limit its losses in difficult market conditions, and for the six months ended June 30, 2002, the fund's class IA shares posted a total return of -3.54% at net asset value. With many international markets exhibiting weakness over the past six months, stock selection has been key to performance. As a reminder, management always evaluates stocks based on their individual merits, seeking out stocks priced below their worth with strong fundamentals and growth prospects that can help them appreciate to their true worth. As the year began, the fund benefited from overweight positions in communication services and consumer cyclicals. Among communication services, a Japanese wireless operator led performance, while among consumer cyclicals holdings, French media stocks made the largest contribution to returns. An overweight position in health-care stocks detracted from returns, as many of these stocks underperformed the market. In April, the fund faced new challenges. Consumer cyclical stocks that had performed strongly in March fell back, as media and advertising stocks reversed previous gains. An underweight position in United Kingdom bank stocks also hurt returns, as these stocks surprisingly were one of the best-performing sub-sectors in all of the world equity markets during April. On the positive side, the fund's underweight position in technology was a real plus, as this sector had a very difficult month. An underweight position in Germany also worked well. In the final months of the period, the fund benefited from significant weightings in basic materials and energy stocks. Within the basic materials sector, notable performers included a Brazilian iron ore producer and a German chemicals company. An underweight position in strong-performing Japanese banks worked against the fund. These banks have unattractive fundamentals, but benefited from a somewhat better outlook for the Japanese economy. With markets expected to remain choppy going forward, stock and sector selection will remain important. The management team believes that the fund's diversified portfolio and flexibility to invest around the world position it well for what lies ahead. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks of large and midsize international companies ------------------------------------------------------------------------ NET ASSET VALUE Class IA $11.87 Class IB $11.83 June 30, 2002 ------------------------------------------------------------------------ International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Putnam VT International Growth and Income Fund During the past six months, global markets remained weak, and for much of the period, followed the downward trend of U.S. markets. Putnam VT International Growth and Income Fund advanced modestly during the period, thanks to the relatively better performance of undervalued stocks in international markets and exposure to currencies that rallied versus the U.S. dollar. For the six months ended June 30, 2002, the fund's class IA shares returned 2.32% at net asset value. In contrast to many international equity funds, this fund selects stocks based on their individual merits, with attractive, low valuations being the most important criteria. The management team does not make strategic sector bets or chase performance among global markets. Instead, the team utilizes rigorous fundamental research and analysis to evaluate the health of a company's balance sheet, the effectiveness of its management, its competitive strategy, its commitment to increasing shareholder value, the company's market share, and the long-term prospects for the company and its industry. In the recent period, several longtime holdings continued to appreciate. These included a South Korean electronics company that had fallen significantly when the tech bubble burst in 2000 but continued to gain market share and improve its stock performance based on strength in manufacturing DRAMs (dynamic random access memory) chips, flat panel screens, and mobile telephones. The fund took some profits, but still holds shares as management believes further appreciation is possible. A Taiwan semiconductor company has a similar story. Its stock, too, became undervalued as the tech sector swooned; yet the company saw an increase in orders from businesses outsourcing capital-intensive manufacturing processes. Another longtime holding that continued to perform well was an energy company that developed a unique method of extracting oil from sand. During the period, when shares were trading at prices that exceeded management's fair valuation estimate for the company, the team sold the entire position. The fund also enjoyed solid returns from new holdings including a Scandinavian paper company, a brewery in South Africa, a British American tobacco company, and an Australian banking company. After months of market declines, many fine companies are currently attractively valued. In the months ahead, management will capitalize on opportunities to upgrade portfolio quality while positioning the fund for better performance as global economies gain strength. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital growth. Current income is a secondary objective. ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of under-valued companies located outside the United States ------------------------------------------------------------------------ NET ASSET VALUE Class IA $9.92 Class IB $9.89 June 30, 2002 ------------------------------------------------------------------------ International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Putnam VT International New Opportunities Fund After making gains in late 2001, growth stocks faced less hospitable international market conditions during most of the past six months. Despite improved economic outlooks in many markets, corporate profit growth remained sluggish. Some international markets did reward growth stocks however, and several holdings in Putnam VT International New Opportunities Fund benefited from this trend. However, over the six months ended June 30, 2002, the fund's class IA shares provided a total return of -1.22% at net asset value. Two international markets that rewarded growth investors over the period were the United Kingdom and South Korea. The fund's South Korean investments provided particularly strong performance, with some companies delivering returns approaching 100%. The South Korean economy has been reaping the benefits of a bold, long-term economic plan conceived after the Asian economic crisis of 1998. An overweight position relative to the fund's benchmark contributed a substantial benefit to overall fund performance. With regard to sectors, the management team maintained underweight exposure to the technology sector, but owned several stocks that advanced, with the result that the fund's technology exposure contributed positively to its performance over the past six months. Semiconductor companies in South Korea and Taiwan led performance, and the fund reduced both positions as stock prices increased and hit their targets. The management team has substantially trimmed the portfolio's position in telecommunications. The fund still has many telecommunications holdings, which management believes represent companies with strong competitive positions in their domestic markets. With the decline of technology as the foremost growth sector and the fund's shift away from telecommunications, the portfolio has become increasingly diversified into areas that have not traditionally offered potent growth opportunities. The consumer cyclicals sector was one such area. The fund also enjoyed strong performance from three international airline stocks acquired at very attractive values following the terrorist attacks of September 11. Management believes that with its diversified portfolio and overweight positions in strong international markets, the fund is well-positioned to benefit as international economies improve and conditions become more favorable for growth stock performance. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of companies located outside the United States with strong growth potential ------------------------------------------------------------------------ NET ASSET VALUE Class IA $9.60 Class IB $9.56 June 30, 2002 ------------------------------------------------------------------------ International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. The fund invests all or a portion of its assets in small to midsize companies. Such investments increase the risk of greater price fluctuations. Putnam VT Investors Fund During the past six months, the large, well-established companies in the portfolio of Putnam VT Investors Fund faced numerous challenges. Rating agencies and government regulators increased their scrutiny of balance sheets in the wake of new corporate accounting and ethics scandals. For the six months ended June 30, 2002, the fund's class IA shares generated a total return of -15.38% at net asset value. Two trends that began during the last year and continued throughout the recent period combined to create a difficult environment for the fund. First, value stocks continued to outperform their growth stock counterparts. Second, small-cap stocks outperformed large-cap issues. Despite these headwinds, management was able to select a number of stocks in several different industries that performed quite well. Stock selection was strongest in the health care, technology, and consumer sectors. The consumer sector, in particular, was affected by the higher unemployment that followed the disasters of September 11. Interestingly, the effects were not always those that were expected. For example, while many analysts had speculated that unemployed customers would no longer be willing to pay premium prices for a cup of coffee, the fund's position in a national chain of popular coffee bars gained considerable value over the period. Discount retailers also benefited from the change in shopping patterns brought about by increased unemployment, and fund holdings benefited accordingly. The warmer-than-average winter boosted consumer discretionary stocks because the lower cost of basic utilities left more dollars to flow into traditional retail sectors. In the technology sector, the fund benefited almost as much from what it did not own as from what it did. The portfolio had no position in the huge telecommunications company that reported exceptionally large accounting irregularities and which was teetering on the edge of bankruptcy as this report was being written. On the plus side, the fund's positions in several top-performing tech companies enabled it to deliver competitive performance relative to its benchmark. Amid health care holdings, the fund benefited from medical device companies and HMOs, while pharmaceutical company holdings lagged. Management looks forward to the further evidence of an economic recovery in the second half of this year and believes that the fund's well diversified portfolio positions it well for what lies ahead. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term growth of capital and any increased income that results from this growth ------------------------------------------------------------------------ PORTFOLIO Primarily high-quality common stocks of large, well-established companies. ------------------------------------------------------------------------ NET ASSET VALUE Class IA $7.85 Class IB $7.82 June 30, 2002 ------------------------------------------------------------------------ Putnam VT Money Market Fund The past six months proved to be a transitional period in fixed-income markets, as the Federal Reserve Board's bias toward lowering rates moderated in response to improving economic fundamentals. For the six months ended June 30, 2002, Putnam VT Money Market Fund's class IA shares posted a total return of 0.76% at net asset value. Since the economy began to falter, commercial paper issuance has been declining. Then the Enron accounting scandal made investors increasingly leery about buying commercial paper, and this attractive, low-cost source of short-term corporate funding became even less available. In response, management reduced the fund's exposure to commercial paper last fall, investing proceeds from maturing securities into U.S. Government Agency notes, which have performed well in this more cautious environment. With interest rates now at historic lows, management has been challenged to keep the fund's income stream high. The team lengthened average days to maturity over the period from 57 days to 71 days in order to lock in the highest level of income for as long as possible. Although the Fed retained its neutral stance as this report was being written, as stronger growth materializes, interest rates are expected to rise. Already, the markets have priced in these higher rates at the short end of the yield curve. Management believes the markets are expecting higher rates sooner than will be the case, and the fund has taken advantage of this trend to purchase six- to nine-month securities. The team has also purchased some floating-rate securities to protect the fund against a rise in interest rates. These securities have a one-year maturity but reset monthly or quarterly to reflect the current market yield. This move has shifted the portfolio structure away from a barbell configuration, with assets concentrated in the short and long ends of the fund's investment universe, to more of a laddering structure, with assets spread more evenly across the maturity spectrum. Ultimately, the presence of these floating-rate securities should help the fund respond more quickly to rising interest rates. In anticipation of an eventual rise in interest rates once the economy recovers solidly, management has begun to gradually and carefully increase the fund's allocation to commercial paper, which is now offering yields at a healthy premium to the federal funds rate in anticipation of future Fed action. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Current income consistent with capital preservation, stability of principal, and liquidity ------------------------------------------------------------------------ PORTFOLIO Primarily high-quality short-term fixed-income securities ------------------------------------------------------------------------ NET ASSET VALUE Class IA $1.00 Class IB $1.00 June 30, 2002 ------------------------------------------------------------------------ Money market funds are not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. Although the fund seeks to maintain a constant share price of $1, it is possible to lose money by investing in this fund. Putnam VT New Opportunities Fund In general, growth stock investor sentiment has been largely negative over the past six months, driven by concerns about corporate profits, accounting scandals, and world events. This unfavorable atmosphere has resulted in declines in many sectors and has dampened fund returns. For the six months ended June 30, 2002, Putnam VT New Opportunities Fund's Class IA shares tallied a total return of -21.12% at net asset value. The Nasdaq Composite and other major market indexes had fallen considerably by the end of the period, due in large part to the investor concerns enumerated above. Despite signs of an improving economy, investors have been unable to focus on positive fundamentals. While slower-growth sectors have performed best thus far, the team believes more aggressive growth companies are beginning to show signs of improvement. Companies are showing significant productivity gains; driven by technology, labor force reductions, and tightly controlled costs. Analysts also expect that corporate spending, while still sluggish as of this report's printing, will begin to increase later in the year, which should lead to growth in corporate profitability. The portfolio is much more broadly diversified than it was in the late 1990s. While the fund is underweight in the technology sector relative to its benchmark, technology still remains its largest sector allocation. Despite declines in selected stocks over the period, the fund's technology holdings now focus on areas of current strength, including security, storage, and semiconductors. Management believes that these areas will continue to do well, as companies that have under-spent on technology over the past two years pick up spending in order to keep up with technology advances. Value-oriented retailing holdings benefited from cost-conscious consumers to provide strong returns over the period, while media stocks also performed well as advertising spending has improved. Health-care services stocks, including managed care facilities and hospitals, performed well throughout the period. The portfolio also contains a number of medical technology stocks, which should perform well as an aging population seeks innovative medical solutions. Although it has a multi-cap strategy, in general, the portfolio is more focused on mid- and large-cap stocks, which industry analysts expect to perform well as the economy strengthens. Management will be watching consumer holdings carefully, seeking opportunities to take profits in this sector while also looking to purchase stocks in more economically sensitive sectors that could benefit from an improving capital spending environment. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks of companies in market sectors with strong long-term growth potential ------------------------------------------------------------------------ NET ASSET VALUE Class IA $13.15 Class IB $13.04 June 30, 2002 ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT New Value Fund The stock market remained volatile throughout the past six months, as slow economic recovery, the war on terrorism, ongoing violence in the Middle East, and corporate accounting scandals put investors in a cautious mood. Dramatic performances from individual portfolio holdings provided rewards and disappointments along the way, and as a result, for the six months ended June 30, 2002, Putnam VT New Value Fund's class IA shares tallied a total return of -6.73% at net asset value. The fund's performance can largely be attributed to the substantial gains and countervailing losses of eight individual holdings. The management team took profits on the strong performers and continued to take advantage of compellingly low prices by adding to several key holdings that had not yet met expectations. All of the underperformers had problems related to liquidity or accounting concerns, suffering "secondary fallout" from the Enron collapse. Fortunately, the fund enjoyed particularly strong performance from several other holdings. These included a manufacturer of glass and plastic containers that benefited from falling energy prices, a Bermuda-based reinsurance company that was purchased at a very attractive price following the September 11 tragedies, and a well-known retailer of consumer durable goods that benefited on a grand scale from low interest rates. The recent market environment has created numerous opportunities for the management team to find value. Companies suspected of having liquidity or earnings quality problems are down indiscriminately. Many of these stocks have significant upside potential when risk tolerance in the market returns to normal levels. The fund has also increased its weighting in basic industrial stocks and in financial stocks, shifting emphasis from brokerage stocks to stocks of lenders. The team believes the positive economic indicators seen thus far in 2002 should provide a stable backdrop for the industrial issues, while low interest rates have put financial stocks in a solid position to appreciate going forward. Management believes that the fund is well-positioned to take advantage of the current expansion, and as always, management remains committed to pursuing the fund's objectives while taking every reasonable measure to control risk. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation ------------------------------------------------------------------------ PORTFOLIO Undervalued common stocks of large and midsize companies ------------------------------------------------------------------------ NET ASSET VALUE Class IA $12.11 Class IB $12.06 June 30, 2002 ------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund Despite mounting signs that the economy is on an upward trajectory, market sentiment has continued to ignore improving economic fundamentals. Instead, it has been overwhelmed by the global tensions and potential terrorist threats that have taken center stage over the past six months. As a result, growth stocks in general, and this fund's performance, in particular, faced significant challenges. For the six months ended June 30, 2002, Putnam OTC & Emerging Growth Fund's class IA shares turned in a -21.10% total return at net asset value. Stocks of small, midsize, and emerging-growth companies felt considerable pressure over the past six months as concerns over corporate governance issues, the threat of another terrorist attack, instability in the Middle East, and tensions between India and Pakistan masked a moderate but healthy economic recovery. Throughout the period, the management team continued to seek opportunities in a wide range of sectors that helped diversify the portfolio and offered strong potential for growth. For example, the team increased the fund's health-care weighting significantly. This was a response to several positive long-term growth trends in this sector, including the aging U.S. population, innovative developments in biotechnology, pharmaceuticals, and medical products, and a significant increase in demand for health-care services. Unfortunately, the biotechnology sector underperformed over the period, although other health-care holdings performed well. Management also increased the fund's energy holdings during the period. Natural gas prices had come under pressure early in the period, resulting in attractive valuations for energy stocks, and indeed, energy holdings provided solid performance over the period. Financial holdings also provided positive contributions to returns, as did broadcast media, retail, and restaurant stocks. The weak economic environment drove consumers to value- oriented retailers, in which the fund had several holdings. Technology stocks underperformed other sectors for most of the period, despite some positive developments in selected sectors. Since the economic slowdown began in earnest in late 2000, the fund has faced considerable challenges. In response, management has taken several steps designed to improve the fund's risk-adjusted returns. They include diversifying the portfolio more broadly, expanding research coverage to include a wider universe of stocks, and enhancing the risk-management tools used to construct the portfolio. As always, they believe investors with patience and a long-term perspective will be rewarded when the market becomes more favorable for growth stocks. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks primarily of small and mid-sized emerging growth companies ------------------------------------------------------------------------ NET ASSET VALUE Class IA $4.75 Class IB $4.72 June 30, 2002 ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT Research Fund The stock market remained choppy over the past six months as investors sought to understand the financial ramifications of the war on terrorism, renewed terrorist fears, the ongoing Middle East conflict, corporate ethics issues, and the sluggish economic recovery. During this difficult period, strict adherence to Putnam VT Research Fund's strategy of selecting holdings based on the comprehensive research of Putnam's analysts enabled the management team to broadly diversify holdings and position the portfolio to benefit from an eventual upturn. For the six months ended June 30, 2002, the fund's class IA shares provided a total return of -14.64% at net asset value. The fund relies on the expertise of Putnam's research analysts to select the best stocks while maintaining a disciplined portfolio construction process to control risk and maintain a risk profile similar to the Standard & Poor's 500. The fund does not focus on one type of stock versus another, say, growth versus value. As the stock market remained volatile over the period, stock selection was the key to performance. Over the past six months, the fund's best-performing stocks have been in five sectors: consumer, health care, technology, telecommunications, and utilities. Holdings in the financial and energy sectors have made no relative impact on returns, while stocks in the industrial and basic materials sectors have detracted from performance. Among consumer stocks, large retailers, a media company, and a food and beverage conglomerate were top performers. In health care, health care services holdings were the best performers, while not owning pharmaceutical companies was beneficial for the fund since many of these firms reported disappointing earnings. In technology and telecommunications, not owning poor performers also proved as important as owning stocks that generated solid returns. Among utilities stocks, the Enron scandal continued to cast a long shadow on energy trading company stocks, which the fund avoided. The fund has a modest bias toward mid-cap and economically sensitive stocks because those stocks have more attractive valuations, although the disparity in valuations between mid- and large-cap stocks has narrowed recently as large-cap stocks have come under pressure. Corporate accounting and ethics concerns have hit these companies hard, with increased scrutiny by ratings and government agencies sometimes resulting in stock price declines. By focusing on companies with good valuations and business models, management believes the portfolio should be able to perform well going forward despite the concerns that overhang the market. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks of large, U.S.-based companies, including growth and value stocks ------------------------------------------------------------------------ NET ASSET VALUE Class IA $9.32 Class IB $9.28 June 30, 2002 ------------------------------------------------------------------------ Putnam VT Small Cap Value Fund Amid fairly turbulent market conditions, value stocks enjoyed relatively strong performance during the early part of the period, as investors remained conservative. Lower interest rates are traditionally beneficial to small-cap stocks and the management team positioned the portfolio at mid-year for a slowly improving economy. While the fund was affected by the general market decline that occurred over the period, more aggressive funds felt its negative effects much more keenly. For the six months ended June 30, 2002, Putnam VT Small Cap Value Fund's class IA shares posted a total return of 3.11% at net asset value. The economy had been weak for months prior to the terrorist attacks of September 11, and the management team had been looking ahead and structuring the portfolio for an improving investment landscape. Using Putnam's in-depth research capabilities as a guide, the team had been able to take advantage of compelling value opportunities among technology companies that occurred following the terrorist attacks. During this semiannual period, several of those purchases proved themselves by turning in strong performance. Others hold a great deal of promise that the team expects will be realized as the economy improves. In addition to tech stocks, the fund has also been pursuing buying opportunities in the health-care sector. This too, represents an opportunity to purchase stocks that are usually off limits to a value fund. Energy stocks are another important weighting for the fund. The improving economy and increased energy demand make this sector particularly well positioned for performance going forward. Other top performers over the period included a major credit card issuer and a medical device manufacturer. Management has also been selling some traditional small-cap value stocks. As other investors discover them, many fund holdings have appreciated to a point where they no longer represent the value they once did. The team believes that today's volatile market represents a rare opportunity to upgrade the quality of this portfolio that is not often seen. The management team is taking full advantage of appropriate opportunities to add names formerly too expensive for this fund while keeping a watchful eye on the fund's risk exposure. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks of small-capitalization companies that are undervalued and poised for positive change ------------------------------------------------------------------------ NET ASSET VALUE Class IA $15.39 Class IB $15.31 June 30, 2002 ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT Technology Fund* The past six months were far from kind to the downtrodden technology sector in general and Putnam VT Technology Fund shared the sector's trials. For the six months ended June 30, 2002, the fund's class IA shares posted a total return of -28.94% at net asset value. Despite signs that the U.S. economy may be recovering, investors have remained nervous about corporate profits, accounting irregularities, and the strength of the recovery throughout this semiannual period. Corporate spending on technology products remained flat or moved lower, while companies in many areas of technology saw rising inventories and declining revenues. Computer, software, communications equipment, and telecommunications equipment stocks all lost ground. Against this backdrop, management pursued a two-pronged strategy: the team sought to keep the portfolio in a relatively defensive position to limit losses, while at the same time, as the period progressed, initiating investments in companies poised to benefit from an upward turn in economic growth. On the defensive side of its strategy, the fund emphasized larger-capitalization companies, market leaders that were selling at attractive valuations. This strategy paid off, as several of these companies were among the top relative performers for the fund in the first half of the period. As the period progressed, management began to emphasize those sectors that they expected to benefit as the economy strengthened. These areas included security, storage component manufacturers, and networking. The fund also benefited from an underweight position in semiconductor stocks. Of course, many of the fund's investments felt the full effects of investor discomfort with growth stocks generally and technology in particular. While the fund held an underweighted position in the hard-hit telecommunications equipment sector, holdings there proved to be among the disappointments during the past six months. Some software holdings also suffered, as did some communications holdings. Management has positioned the fund to benefit from a recovery expected to begin during the second half of 2002. Unfortunately, many technology companies remain challenged and analysts now expect corporate technology spending to lag improvements in corporate profits. Although the technology sector may continue to experience adversity in the next several months, its long-term outlook remains strong. The team maintains its belief that this sector continues to offer significantly more growth opportunities than the market as a whole. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks primarily of companies in the technology industries ------------------------------------------------------------------------ NET ASSET VALUE Class IA $3.02 Class IB $3.00 June 30, 2002 ------------------------------------------------------------------------ The fund concentrates its investments in one group of industries and involves more risk than a fund that invests more broadly. This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. * This fund has been scheduled for merger and is closed to new investors. For more information, see page 236. Putnam VT Utilities Growth and Income Fund The past six months saw important transitions in the U.S. economy as the Federal Reserve Board's monetary policy shifted from stimulative to neutral, the financial markets regrouped after September 11, and the economy began a slow, choppy recovery. In response, bond yields rose early in the period, only to fall back in April and May, while the stock market seemed unable to sustain a rally. For the six months ended June 30, 2002, Putnam VT Utilities Growth and Income Fund's class IA shares posted a total return of -15.48% at net asset value. The utilities industry is still grappling with volatile energy prices and regulatory issues, as well as a sluggish economy, but the environment has improved notably since the end of 2001. For example, two of California's recovering energy giants were among the strongest contributors to fund performance over the period. The fund began purchasing the stocks of both companies in May of 2001. Timely rate increases, a drop in wholesale energy prices, and the ability to recover past power costs supported stock price increases for both companies. Enron's widely publicized downfall shocked investors around the world. Fortunately, the team had sold most of the fund's Enron holdings as the slide began. Late in 2001, the team eliminated Enron completely, so its effect on the fund's six-month results was negligible. Other energy marketer holdings did drag fund returns, although management continues to see value in these positions and is maintaining them for the present. Communications companies were generally weaker than the gas and electric stocks. The management team believes a defensive approach to this sector still has value; however, the allocation dampened the fund's performance relative to similar funds that had less exposure to the telecommunications sector and will be reduced going forward. Emphasis remains on more defensive companies such as the regional Bell operating companies, which offer strong balance sheets and a competitive edge in the long-distance marketplace. The team is cautious about the wireless sector due to market saturation and have greatly reduced holdings of former telecommunications leaders. While volatile energy prices continue to pose challenges, management believes a subdued economic growth rate may prove to be healthy for the utilities industry in general, and shareholders of well-managed, financially strong companies such as those the management team seeks to target. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital growth and current income ------------------------------------------------------------------------ PORTFOLIO Common stocks and bonds issued by utility companies ------------------------------------------------------------------------ NET ASSET VALUE Class IA $10.62 Class IB $10.59 June 30, 2002 ------------------------------------------------------------------------ The fund concentrates its investments in one region or in one sector and involves more risk than a fund that invests more broadly. Putnam VT Vista Fund Putnam VT Vista Fund suffered along with the rest of the growth stock universe over the past six months, as investors largely shunned risk and fled instead to the relative safety of bonds and lower-priced value stocks. The fund's management team focused on stock selection and sector weightings in order to limit losses and position the portfolio for a more favorable environment. For the six months ended June 30, 2002, the fund's class IA shares posted a total return of -19.30% at net asset value. The portfolio was positioned defensively for most of the period. Overweight positions in utilities and financials, particularly regional banks, helped returns, as did stock selection in these sectors. Slightly underweight positions in technology and the more aggressive sectors of health care helped performance, as these stocks have been particularly weak. Health-care service company holdings, including managed care facilities and hospitals, did perform quite well, due to positive stock selection and an improved reimbursement environment. Toward the end of the period, technology stocks become more attractively valued and management began taking advantage of recent pull-backs in the market to selectively increase positions in high quality, higher growth technology names. Stocks that contributed most to the fund's performance are those of companies with more stable, visible growth patterns, such as retailers. While retail holdings did provide strength, an underweight position in the sector prevented the fund from fully participating in the sector's gains over the period. Consumer cyclical stocks, which tend to perform better in a strengthening economic environment, also contributed to returns. The management team believes that after being punished in the market for about three years, mid-cap growth stocks now represent an attractive investment opportunity for a number of reasons. On a valuation basis, mid-cap growth stocks have become more attractive relative to mid-cap value stocks. As the economy stabilizes and capital spending strengthens, mid-cap growth stocks should benefit, since many of them serve as suppliers to larger corporations. In addition, today's corporate governance concerns tend to be focused on larger, more complicated companies. Finally, the mid-cap sector has expanded significantly beyond its earlier technology focus and now offers a broader, more diverse mix of companies. The management team looks forward favorably to a corporate profit recovery and is confident that the portfolio is well-positioned with high quality stocks that can generate solid returns going forward. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation ------------------------------------------------------------------------ PORTFOLIO Common stocks with potential for above-average capital growth ------------------------------------------------------------------------ NET ASSET VALUE Class IA $9.20 Class IB $9.14 June 30, 2002 ------------------------------------------------------------------------ The fund invests all or a portion of its assets in small to medium-size companies. Such investments increase the risk of greater price fluctuations. Putnam VT Voyager Fund Given the tumultuous environment that dominated the stock market over the past six months in the wake of the ongoing war on terrorism, continued conflict in the Middle East, and high-profile corporate accounting scandals, Putnam VT Voyager Fund's performance, though still negative, represents a significant improvement over the prior period's result. For the six months ended June 30, 2002, the fund's class IA shares tallied a total return of -16.58% at net asset value. The stock market labored under difficult conditions over the period, as investors sought to discern the financial ramifications of global political problems along with mixed economic signals. Value stocks continued to outperform growth stocks, while small-cap stocks outperformed large-cap issues. Neither trend was favorable for the fund, which invests primarily in stocks of large and midsize companies with sales and profits that are likely to grow faster than the overall market. During the period, the fund's portfolio was well diversified and favored growth stocks with relatively low price volatility. This more conservative positioning helped limit losses as the market declined, but also limited the fund's ability to participate in brief rallies as they occurred. Stock selection was the key to performance over the period, especially in the technology sector. Given the high volatility of this sector, Putnam's in-depth research and analysis capabilities were essential in enabling management to identify those stock opportunities with the strongest potential to contribute positively to performance. The fund also benefited from stock selection in the consumer, health-care, and financial sectors. The consumer sector extended its already long-lived strength, and fund holdings in discount retailers, a consumer staples conglomerate, and a chain of home-improvement stores turned in superior returns. The fund's aerospace holdings benefited handsomely from an increase in federal defense spending as the United States planned a long-term military campaign against terrorism. While the current climate of volatility and corporate earnings disappointments and accounting irregularities has been difficult for growth stock investors, actions are now being taken to remedy the abuses. As the economic cycle moves further toward recovery, the team believes growth companies with better management and better market position should again emerge. These are exactly the type of companies they seek for this fund's portfolio. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation ------------------------------------------------------------------------ PORTFOLIO Stocks of large and midsize companies with above-average growth potential ------------------------------------------------------------------------ NET ASSET VALUE Class IA $23.78 Class IB $23.67 June 30, 2002 ------------------------------------------------------------------------ Putnam VT Voyager Fund II Although there have been indications that the economy is recovering from recession, growth stocks and the equity markets in general have ignored economic fundamentals during the first half of 2002. Instead, stock prices have been weighed down by corporate accounting scandals in the U.S. and geopolitical turmoil abroad. As a result, the absolute returns for Putnam VT Voyager Fund II, as well as the stock market in general, were down significantly over the period. For the six months ended June 30, 2002, the fund's class IA shares provided a total return of -18.88% at net asset value. To weather the volatility in the equity markets, the management team worked diligently to keep the portfolio diversified. For example, the team increased the fund's health care weighting significantly. This was a response to several positive long-term developments in biotechnology, pharmaceuticals, and medical products, as well as a significant increase in demand for health-care services from an aging population of baby boomers. With a higher intrinsic volatility, biotechnology holdings underperformed during the period, but the fund's other health-care stocks, while down somewhat with the market, held their ground. Taking advantage of attractive valuations in energy stocks, management also increased the fund's weighting in that sector. These holdings provided a solid contribution to performance during the first half of 2002. The team also added financial holdings to the fund, primarily regional bank stocks, and these have performed well, as have broadcasting, media, retail, and restaurant stocks. The weak economic environment drove consumers to value-oriented retailers, and the fund benefited with several holdings. The fund's technology holdings underperformed most of the other sectors during the period, and although the team has seen signs that demand is building, such as drastically reduced inventories, companies have yet to begin increasing capital spending for technology. Nevertheless, while the fund's technology weighting is down significantly, the tech sector remains an important part of the economy and, therefore, of the portfolio. With the overall market down significantly, the team has positioned the portfolio somewhat defensively but remains confident that growth stocks will recover at some point, and as more indications of a strengthening economy emerge, they will adjust the positioning to participate in a recovery. ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term growth of capital ------------------------------------------------------------------------ PORTFOLIO Stocks of small, midsize, and large companies with very strong growth potential ------------------------------------------------------------------------ NET ASSET VALUE Class IA $4.04 Class IB $4.03 June 30, 2002 ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations.
Putnam VT American Government Fund The fund's portfolio June 30, 2002 (Unaudited) U.S. GOVERNMENT AND AGENCY OBLIGATIONS (72.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ U.S. Government Agency Mortgage Obligations (47.7%) ........................................................................................................................ Federal Farm Credit Bank Adjustable Rate Mortgages ........................................................................................................................ $10,000,000 5 3/4s, January 18, 2011 $10,344,800 ........................................................................................................................ 5,000,000 4 1/4s, July 1, 2003 5,098,150 ........................................................................................................................ Federal Home Loan Bank ........................................................................................................................ 4,850,000 5.8s, September 2, 2008 5,127,372 ........................................................................................................................ 11,000,000 5 3/8s, May 15, 2006 11,498,080 ........................................................................................................................ Federal Home Loan Mortgage Corporation ........................................................................................................................ 4,362,831 7 1/2s, with due dates from January 1, 2030 to July 1, 2031 4,581,811 ........................................................................................................................ 993,941 7 1/2s, with due dates from October 1, 2014 to November 1, 2015 523,749 ........................................................................................................................ 22,899,999 6 1/2s, with due dates from March 1, 2032 to June 1, 2032 23,399,907 ........................................................................................................................ 60,006 6s, June 1, 2032 59,959 ........................................................................................................................ 3,500,000 6s, June 15, 2011 3,664,010 ........................................................................................................................ Federal National Mortgage Association Pass-Through Certificates ........................................................................................................................ 12,185,977 7 1/2s, with due dates from August 1, 2029 to August 1, 2031 10,057,298 ........................................................................................................................ 6,390,235 7 1/2s, with due dates from April 1, 2015 to September 1, 2016 10,051,318 ........................................................................................................................ 4,680,000 7 1/4s, May 15, 2030 5,329,210 ........................................................................................................................ 3,400,000 7 1/4s, January 15, 2010 3,853,662 ........................................................................................................................ 157,966 6 1/2s, May 1, 2031 161,285 ........................................................................................................................ Government National Mortgage Association Pass-Through Certificates ........................................................................................................................ 1,044,856 7 1/2s, with due dates from June 15, 2030 to March 15, 2031 1,103,086 ........................................................................................................................ 20,678,839 7s, with due dates from April 15, 2028 to December 15, 2031 21,507,912 ........................................................................................................................ 17,562,274 6 1/2s, with due dates from May 15, 2029 to December 15, 2031 17,954,323 ------------------------------------------------------------------------------------------------------------------------ 134,315,932 ------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT AND AGENCY OBLIGATIONS ------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Obligations (24.8%) ........................................................................................................................ 550,000 Tennessee Valley Authority, 5 3/8s, November 13, 2008 565,301 ........................................................................................................................ U.S. Treasury Bonds ........................................................................................................................ 1,170,000 10 5/8s, August 15, 2015 1,758,791 ........................................................................................................................ 1,865,000 8s, November 15, 2021 2,385,447 ........................................................................................................................ 3,000,000 6 1/4s, May 15, 2030 3,249,720 ........................................................................................................................ 2,250,000 6s, February 15, 2026 2,340,338 ........................................................................................................................ 7,140,000 5 1/4s, February 15, 2029 6,716,669 ........................................................................................................................ U.S. Treasury Notes ........................................................................................................................ 8,150,000 5s, August 15, 2011 8,263,122 ........................................................................................................................ 22,310,000 4 7/8s, February 15, 2012 22,393,662 ........................................................................................................................ 9,950,000 4 3/8s, May 15, 2007 10,086,813 ........................................................................................................................ 2,504,093 3 5/8s, January 15, 2008 2,621,459 ........................................................................................................................ 35,925,000 U.S. Treasury Strip zero %, November 15, 2024 9,488,870 ------------------------------------------------------------------------------------------------------------------------ 69,870,192 ------------------------------------------------------------------------------------------------------------------------ Total U.S. Government and Agency Obligations (cost $200,851,706) $204,186,124 ------------------------------------------------------------------------------------------------------------------------ COLLATERALIZED MORTGAGE OBLIGATIONS (5.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Fannie Mae ........................................................................................................................ $2,464,000 Ser. 02-W4, Class A5, 7 1/2s, 2042 $2,627,240 ........................................................................................................................ 1,248,941 Ser. 01-T10, Class A2, 7 1/2s, 2041 1,331,684 ........................................................................................................................ 886,332 Ser. 01-T12, Class A2, 7 1/2s, 2031 945,051 ........................................................................................................................ 1,438,548 Ser. 01-T7, Class A1, 7 1/2s, 2031 1,533,852 ........................................................................................................................ 1,051,536 Ser. 00-T6, Class A1, 7 1/2s, 2030 1,121,200 ........................................................................................................................ 4,578,786 Ser. 319, Class 2, Interest Only (IO), 6 1/2s, 2032 1,112,502 ........................................................................................................................ Freddie Mac ........................................................................................................................ 5,402,065 Ser. 214, IO, 6 1/2s, 2031 1,237,410 ........................................................................................................................ 1,789,840 Ser. 204, IO, 6s, 2029 413,901 ........................................................................................................................ 12,213,916 Ser. 212, IO, 6s, 2031 2,974,558 ........................................................................................................................ 6,379,273 Ser. 216, IO, 6s, 2032 1,792,177 ------------------------------------------------------------------------------------------------------------------------ Total Collateralized Mortgage Obligations (cost $15,083,091) $15,089,575 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (24.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $11,000,000 Federal Home Loan Banks, for an effective yield of 1.73%, September 6, 2002 $10,964,690 ........................................................................................................................ 10,000,000 Federal Home Loan Mortgage Corporation, for an effective yield of 1.73%, September 30, 2002 9,956,120 ........................................................................................................................ 20,000,000 Federal National Mortgage Association, for an effective yield of 1.77%, August 7, 2002 19,963,617 ........................................................................................................................ 13,000,000 Interest in $380,000,000 joint tri-party repurchase agreement dated June 28, 2002 with S.B.C. Warburg due July 1, 2002 with respect to various U.S. Government obligations -- maturity value of $13,002,134 for an effective yield of 1.97% 13,000,000 ........................................................................................................................ 13,000,000 Interest in $354,000,000 joint tri-party repurchase agreement dated June 28, 2002 with Goldman Sachs & Co. due July 1, 2002 with respect to various U.S. Government obligations -- maturity value of $13,002,134 for an effective yield of 1.97% 13,000,000 ........................................................................................................................ 3,330,000 Interest in $3,330,000 joint repurchase agreement dated June 28, 2002 with Lehman Brothers, Inc. due July 1, 2002 with respect to various U.S. Government obligations -- maturity value of $3,330,547 for an effective yield of 1.97% 3,330,000 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $70,214,824) $70,214,427 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $286,149,621) (b) $289,490,126 ------------------------------------------------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Asia Pacific Growth Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (101.4%) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Australia (16.4%) ........................................................................................................................ 73,929 AMP, Ltd. $647,343 ........................................................................................................................ 37,700 Australia & New Zealand Banking Group, Ltd. 408,196 ........................................................................................................................ 197,045 BHP Billiton, Ltd. 1,139,194 ........................................................................................................................ 198,586 Brambles Industries Ltd. 1,052,242 ........................................................................................................................ 53,899 Commonwealth Bank of Australia 996,248 ........................................................................................................................ 205,147 Foster's Brewing Group, Ltd. 543,503 ........................................................................................................................ 51,905 National Australia Bank, Ltd. 1,031,353 ........................................................................................................................ 80,036 News Corp., Ltd. (The) 434,866 ........................................................................................................................ 30,698 News Corp., Ltd. (The) ADR 703,905 ........................................................................................................................ 269,700 Qantas Airways, Ltd. 696,360 ........................................................................................................................ 16,800 Rio Tinto, Ltd. 316,088 ........................................................................................................................ 201,568 Telstra Corporation, Ltd. 527,233 ........................................................................................................................ 135,979 Westpac Banking Corp. 1,239,518 ........................................................................................................................ 41,702 Woodside Petroleum, Ltd. 317,638 ........................................................................................................................ 116,205 Woolworths, Ltd. 857,720 ------------------------------------------------------------------------------------------------------------------------ 10,911,407 ------------------------------------------------------------------------------------------------------------------------ China (0.4%) ........................................................................................................................ 1,346,000 Aluminum Corporation of China, Ltd. 248,495 ------------------------------------------------------------------------------------------------------------------------ Hong Kong (6.6%) ........................................................................................................................ 90,000 Cheung Kong Holdings, Ltd. 750,010 ........................................................................................................................ 98,500 China Mobile, Ltd. (NON) 291,715 ........................................................................................................................ 164,100 CLP Holdings, Ltd. 652,201 ........................................................................................................................ 399,500 CNOOC, Ltd. 535,234 ........................................................................................................................ 177,500 Hong Kong Electric Holdings, Ltd. 663,358 ........................................................................................................................ 58,600 Hutchison Whampoa, Ltd. 437,627 ........................................................................................................................ 304,000 Li & Fung, Ltd. 409,236 ........................................................................................................................ 50,000 Sun Hung Kai Properties, Ltd. 379,813 ........................................................................................................................ 56,500 Swire Pacific, Ltd. 289,023 ------------------------------------------------------------------------------------------------------------------------ 4,408,217 ------------------------------------------------------------------------------------------------------------------------ Japan (59.1%) ........................................................................................................................ 7,300 Acom Co., Ltd. 498,849 ........................................................................................................................ 4,000 Acom Co., Ltd. 144A 273,342 ........................................................................................................................ 10,500 Advantest Corp. 653,567 ........................................................................................................................ 47,000 Canon, Inc. 1,776,471 ........................................................................................................................ 23,000 Denso Corp. 359,441 ........................................................................................................................ 188 East Japan Railway Co. 880,000 ........................................................................................................................ 17,200 Fast Retailing Co., Ltd. 373,133 ........................................................................................................................ 31,000 Fuji Photo Film Companies, Ltd. 1,001,001 ........................................................................................................................ 3,400 Hirose Electric Co., Ltd. 296,454 ........................................................................................................................ 19,000 Honda Motor Co., Ltd. 770,463 ........................................................................................................................ 228 Japan Telecom Co., Ltd. 652,516 ........................................................................................................................ 74,000 KAO Corp. 1,704,130 ........................................................................................................................ 12,000 Kirin Brewery Co., Ltd. 84,105 ........................................................................................................................ 42,000 Konica Corp. 271,589 ........................................................................................................................ 81,000 Matsushita Electric Industrial Co. 1,105,006 ........................................................................................................................ 45,000 Matsushita Electric Works, Ltd. 322,904 ........................................................................................................................ 58 Millea Holdings, Inc. (NON) 476,195 ........................................................................................................................ 102,000 Mitsui Sumitomo Insurance Co., Ltd. 548,936 ........................................................................................................................ 12,000 Murata Manufacturing Co., Ltd. 770,964 ........................................................................................................................ 96,000 Nikko Securities Co., Ltd. 484,606 ........................................................................................................................ 6,500 Nintendo Co., Ltd. 957,238 ........................................................................................................................ 152,000 Nissan Motor Co., Ltd. 1,052,649 ........................................................................................................................ 24,700 Nissin Food Products Co., Ltd. 490,496 ........................................................................................................................ 57,000 Nomura Securites Co., Ltd. 837,046 ........................................................................................................................ 705 NTT DoCoMo, Inc. 1,735,294 ........................................................................................................................ 380 NTT DoCoMo, Inc. 144A 935,336 ........................................................................................................................ 3,300 Obic Co., Ltd. 715,895 ........................................................................................................................ 62,000 Olympus Optical Co., Ltd. 865,982 ........................................................................................................................ 16,800 Orix Corp. 1,355,494 ........................................................................................................................ 33,000 RICOH Co., Ltd. 571,339 ........................................................................................................................ 7,900 Rohm Co., Ltd. 1,179,232 ........................................................................................................................ 7,000 SECOM Company, Ltd. 343,429 ........................................................................................................................ 35,900 SEGA Corp. (NON) 862,678 ........................................................................................................................ 30,000 Seven-Eleven Japan Co., Ltd. 1,181,477 ........................................................................................................................ 17,100 Shin-Etsu Chemical Co. 734,793 ........................................................................................................................ 43,500 Sony Corp. 2,297,497 ........................................................................................................................ 92,000 Sumitomo Chemical Co., Ltd. 418,356 ........................................................................................................................ 400 Sumitomo Mitsui Banking Corp. 1,952 ........................................................................................................................ 33,000 Taisho Pharmaceutical Company, Ltd. 508,285 ........................................................................................................................ 35,000 Takeda Chemical Industries, Ltd. 1,536,087 ........................................................................................................................ 6,180 Takefuji Corp. 429,532 ........................................................................................................................ 17,400 Tokyo Electric Power Co. 357,872 ........................................................................................................................ 291,000 Tokyo Gas Co., Ltd. 808,536 ........................................................................................................................ 72,000 Toppan Printing Co., Ltd. 748,536 ........................................................................................................................ 50,000 Tostem Inax Holding Corp. 853,150 ........................................................................................................................ 118,800 Toyota Motor Corp. 3,152,140 ........................................................................................................................ 35,000 USHIO, Inc. 415,853 ........................................................................................................................ 17 Yahoo Japan Corp. (NON) 365,957 ........................................................................................................................ 4,600 Yamada Denki Co., Ltd. 403,004 ------------------------------------------------------------------------------------------------------------------------ 39,418,807 ------------------------------------------------------------------------------------------------------------------------ Malaysia (0.4%) ........................................................................................................................ 436,000 Plus Expressways 144A (NON) 292,579 ------------------------------------------------------------------------------------------------------------------------ Singapore (3.5%) ........................................................................................................................ 43,000 Overseas-Chinese Banking Corp. 284,817 ........................................................................................................................ 39,000 Singapore Airlines, Ltd. 284,817 ........................................................................................................................ 42,000 Singapore Press Holdings, Ltd. 473,166 ........................................................................................................................ 138,000 United Overseas Bank, Ltd. 992,188 ........................................................................................................................ 39,500 Venture Manufacturing, Ltd. 315,302 ------------------------------------------------------------------------------------------------------------------------ 2,350,290 ------------------------------------------------------------------------------------------------------------------------ South Korea (10.2%) ........................................................................................................................ 9,300 Hyundai Motor Co., Ltd. 279,929 ........................................................................................................................ 14,941 Kookmin Bank 726,523 ........................................................................................................................ 25,060 Korea Electric Power Corp. 459,051 ........................................................................................................................ 16,300 Korea Tobacco & Ginseng Corp. 211,724 ........................................................................................................................ 50,400 Korea Tobacco & Ginseng Corp. 144A GDR 327,096 ........................................................................................................................ 36,420 KT Corp. ADR 788,493 ........................................................................................................................ 3,520 Pohang Iron & Steel Co., Ltd. 391,274 ........................................................................................................................ 8,573 Samsung Electronics Co., Ltd. 2,348,477 ........................................................................................................................ 8,550 Samsung Securities Co., Ltd. (NON) 244,896 ........................................................................................................................ 2,950 Shinsegae Co., Ltd. 501,082 ........................................................................................................................ 22,000 SK Telecom Co., Ltd. ADR 545,380 ------------------------------------------------------------------------------------------------------------------------ 6,823,925 ------------------------------------------------------------------------------------------------------------------------ Taiwan (4.3%) ........................................................................................................................ 23,600 ASE Test, Ltd. (NON) 228,920 ........................................................................................................................ 114,750 Asustek Computer, Inc. 345,695 ........................................................................................................................ 245,000 Compal Electronics, Inc. 235,746 ........................................................................................................................ 90,416 Hon Hai Precision Industry Co., Ltd. 369,958 ........................................................................................................................ 94,000 Quanta Computer, Inc. 264,868 ........................................................................................................................ 602,000 Taishin Financial Holdings Co., Ltd. (NON) 324,820 ........................................................................................................................ 242,090 Taiwan Semiconductor Manufacturing Co. Ltd. (NON) 493,469 ........................................................................................................................ 505,800 United Microelectronics Corp. (NON) 607,991 ------------------------------------------------------------------------------------------------------------------------ 2,871,467 ------------------------------------------------------------------------------------------------------------------------ Thailand (0.5%) ........................................................................................................................ 336,000 Advanced Info Service Public Company, Ltd. 323,777 ........................................................................................................................ 123,157 TeleComasia Corp. (Rights) (India) (NON) 1 ------------------------------------------------------------------------------------------------------------------------ 323,778 ------------------------------------------------------------------------------------------------------------------------ Total Common Stock (cost $71,976,993) $67,648,965 ------------------------------------------------------------------------------------------------------------------------ UNITS (1.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Units ........................................................................................................................ 72,300 HDFC Bank Ltd. 144A Structured Warrants (issued by UBS AG) expiration 3/13/03 $298,621 ........................................................................................................................ 7,849 Infosys Technologies, Ltd. 144A Structured Call Warrants (issued by UBS AG) expiration 7/16/02 (India) 529,442 ........................................................................................................................ 2,000 Infosys Technologies, Ltd. 144A Structured Warrants (issued by UBS AG) expiraton 4/11/03 (India) 134,599 ........................................................................................................................ 4,500 Singapore Press Holdings, Ltd. Structured Warrants (issued by Merrill Lynch Intl. & Co. CV) expiration 6/10/03 (Singapore) 50,697 ------------------------------------------------------------------------------------------------------------------------ Total Units (cost $1,171,187) $1,013,359 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (3.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount ........................................................................................................................ $125,000 U.S. Treasury Notes zero %, December 12, 2002 (SEG) $124,006 ........................................................................................................................ 1,974,962 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) 1,973,762 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $2,097,768) $2,097,768 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $75,245,948) (b) $70,760,092 ------------------------------------------------------------------------------------------------------------------------ The fund had the following industry group concentration greater than 10% at June 30, 2002 (as a percentage of net assets): Finance 20.6% Consumer Cyclicals 20.6 Technology 16.1 ------------------------------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Face Delivery Unrealized Market Value Value Date Appreciation .............................................................................. Japanese Yen $644,014 $624,863 9/12/2002 $19,151 ------------------------------------------------------------------------------ Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Face Expiration Unrealized Total Value Value Date Appreciation .............................................................................. TOPIX (Long) $595,453 $589,317 9/12/2002 $6,136 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Capital Appreciation Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (96.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Advertising and Marketing Services (--%) ........................................................................................................................ 283 Valassis Communications, Inc. (NON) $10,330 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (4.2%) ........................................................................................................................ 24,300 Raytheon Co. 990,225 ........................................................................................................................ 1,140 Teledyne Technologies, Inc. (NON) 23,655 ........................................................................................................................ 645 Triumph Group, Inc. (NON) 28,767 ........................................................................................................................ 1,130 United Defense Industries, Inc. (NON) 25,990 ------------------------------------------------------------------------------------------------------------------------ 1,068,637 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.2%) ........................................................................................................................ 1,325 Continental Airlines, Inc. Class B (NON) 20,909 ........................................................................................................................ 3,100 Mesa Air Group, Inc. (NON) 28,520 ------------------------------------------------------------------------------------------------------------------------ 49,429 ------------------------------------------------------------------------------------------------------------------------ Automotive (0.6%) ........................................................................................................................ 1,670 Dura Automotive Systems, Inc. (NON) 34,653 ........................................................................................................................ 3,075 Tower Automotive, Inc. (NON) 42,896 ........................................................................................................................ 4,785 Visteon Corp. 67,947 ------------------------------------------------------------------------------------------------------------------------ 145,496 ------------------------------------------------------------------------------------------------------------------------ Banking (11.0%) ........................................................................................................................ 875 Astoria Financial Corp. 28,044 ........................................................................................................................ 14,950 Comerica, Inc. 917,930 ........................................................................................................................ 5,600 Fifth Third Bancorp 373,240 ........................................................................................................................ 1,472 New York Community Bancorp, Inc. 39,273 ........................................................................................................................ 4,307 Sovereign Bancorp, Inc. 64,390 ........................................................................................................................ 58,600 U.S. Bancorp 1,367,303 ........................................................................................................................ 400 Webster Financial Corp. 15,296 ------------------------------------------------------------------------------------------------------------------------ 2,805,476 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (1.8%) ........................................................................................................................ 911 Cox Radio, Inc. Class A (NON) 21,955 ........................................................................................................................ 2,608 Emmis Communications Corp. Class A (NON) 55,264 ........................................................................................................................ 2,093 Sinclair Broadcast Group, Inc. (NON) 30,474 ........................................................................................................................ 7,700 Viacom, Inc. Class B (NON) 341,649 ........................................................................................................................ 400 Young Broadcasting, Inc. Class A (NON) 7,112 ------------------------------------------------------------------------------------------------------------------------ 456,454 ------------------------------------------------------------------------------------------------------------------------ Cable Television (1.4%) ........................................................................................................................ 13,700 Comcast Corp. Class A (NON) 326,608 ........................................................................................................................ 3,476 Mediacom Communications Corp. (NON) 27,078 ------------------------------------------------------------------------------------------------------------------------ 353,686 ------------------------------------------------------------------------------------------------------------------------ Chemicals (0.5%) ........................................................................................................................ 1,406 Cytec Industries, Inc. (NON) 44,205 ........................................................................................................................ 1,300 Ferro Corp. 39,195 ........................................................................................................................ 1,328 FMC Corp. (NON) 40,066 ------------------------------------------------------------------------------------------------------------------------ 123,466 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (0.6%) ........................................................................................................................ 670 Manpower, Inc. 24,623 ........................................................................................................................ 950 Maximus, Inc. (NON) 30,115 ........................................................................................................................ 1,752 ServiceMaster Co. (The) 24,037 ........................................................................................................................ 2,019 Viad Corp. 52,494 ........................................................................................................................ 691 West Corp. (NON) 15,243 ------------------------------------------------------------------------------------------------------------------------ 146,512 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.5%) ........................................................................................................................ 7,910 Cisco Systems, Inc. (NON) 110,345 ........................................................................................................................ 1,840 Polycom, Inc. (NON) 22,062 ------------------------------------------------------------------------------------------------------------------------ 132,407 ------------------------------------------------------------------------------------------------------------------------ Computers (0.4%) ........................................................................................................................ 2,009 Avocent Corp. (NON) 31,983 ........................................................................................................................ 565 BARRA, Inc. (NON) 21,007 ........................................................................................................................ 1,655 RadiSys Corp. (NON) 19,248 ........................................................................................................................ 1,836 SBS Technologies, Inc. (NON) 22,489 ------------------------------------------------------------------------------------------------------------------------ 94,727 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (1.4%) ........................................................................................................................ 27,000 Tyco International, Ltd. (Bermuda) 364,770 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (0.1%) ........................................................................................................................ 1,040 Yankee Candle Company, Inc. (The) (NON) 28,174 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.5%) ........................................................................................................................ 2,284 Ceridian Corp. (NON) 43,350 ........................................................................................................................ 2,086 Heidrick & Struggles International, Inc. (NON) 41,657 ........................................................................................................................ 1,684 Korn/Ferry International (NON) 15,324 ........................................................................................................................ 1,143 Talx Corp. 21,671 ------------------------------------------------------------------------------------------------------------------------ 122,002 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (1.8%) ........................................................................................................................ 11,200 FirstEnergy Corp. 373,856 ........................................................................................................................ 1,095 SCANA Corp. 33,803 ........................................................................................................................ 5,726 Sierra Pacific Resources 44,663 ------------------------------------------------------------------------------------------------------------------------ 452,322 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (0.1%) ........................................................................................................................ 1,900 BE Aerospace, Inc. (NON) 25,042 ------------------------------------------------------------------------------------------------------------------------ Electronics (1.6%) ........................................................................................................................ 1,157 Belden, Inc. 24,112 ........................................................................................................................ 11,875 Intel Corp. 216,956 ........................................................................................................................ 4,478 Lattice Semiconductor Corp. (NON) 39,914 ........................................................................................................................ 1,586 Merix Corp. (NON) 13,608 ........................................................................................................................ 2,759 PerkinElmer, Inc. 30,487 ........................................................................................................................ 2,365 Sipex Corp. (NON) 11,562 ........................................................................................................................ 1,969 Thermo Electron Corp. (NON) 32,489 ........................................................................................................................ 6,657 Zarlink Semiconductor, Inc. (Canada) (NON) 33,884 ------------------------------------------------------------------------------------------------------------------------ 403,012 ------------------------------------------------------------------------------------------------------------------------ Engineering & Construction (0.2%) ........................................................................................................................ 1,927 Insituform Technologies, Inc. Class A (NON) 40,814 ------------------------------------------------------------------------------------------------------------------------ Entertainment (--%) ........................................................................................................................ 287 Regal Entertainment Group Class A (NON) 6,693 ------------------------------------------------------------------------------------------------------------------------ Financial (6.0%) ........................................................................................................................ 15,765 Citigroup, Inc. 610,894 ........................................................................................................................ 14,880 Freddie Mac 910,656 ........................................................................................................................ 799 Interactive Data Corp. (NON) 11,633 ------------------------------------------------------------------------------------------------------------------------ 1,533,183 ------------------------------------------------------------------------------------------------------------------------ Food (0.1%) ........................................................................................................................ 1,140 Interstate Bakeries Corp. 32,923 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.3%) ........................................................................................................................ 905 Argosy Gaming Co. (NON) 25,702 ........................................................................................................................ 4,491 Park Place Entertainment Corp. (NON) 46,033 ------------------------------------------------------------------------------------------------------------------------ 71,735 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (8.0%) ........................................................................................................................ 14,150 Cardinal Health, Inc. 868,952 ........................................................................................................................ 400 First Health Group Corp. (NON) 11,216 ........................................................................................................................ 17,400 HCA, Inc. 826,500 ........................................................................................................................ 3,504 UnitedHealth Group, Inc. 320,791 ------------------------------------------------------------------------------------------------------------------------ 2,027,459 ------------------------------------------------------------------------------------------------------------------------ Insurance (5.1%) ........................................................................................................................ 8,084 American International Group, Inc. 551,571 ........................................................................................................................ 673 Fidelity National Financial, Inc. 21,267 ........................................................................................................................ 750 IPC Holdings, Ltd. (Bermuda) 22,905 ........................................................................................................................ 1,044 Odyssey Re Holdings Corp. 18,155 ........................................................................................................................ 8,200 XL Capital, Ltd. Class A (Bermuda) 694,540 ------------------------------------------------------------------------------------------------------------------------ 1,308,438 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.5%) ........................................................................................................................ 876 A.G. Edwards, Inc. 34,050 ........................................................................................................................ 945 Federated Investors, Inc. 32,669 ........................................................................................................................ 2,992 Waddell & Reed Financial, Inc. 68,577 ------------------------------------------------------------------------------------------------------------------------ 135,296 ------------------------------------------------------------------------------------------------------------------------ Leisure (0.4%) ........................................................................................................................ 3,223 Brunswick Corp. 90,244 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (2.7%) ........................................................................................................................ 584 Four Seasons Hotels, Inc. (Canada) 27,390 ........................................................................................................................ 15,700 Marriott International, Inc. Class A 597,385 ........................................................................................................................ 1,270 Orient-Express Hotels, Ltd. Class A (Bermuda) (NON) 21,755 ........................................................................................................................ 1,976 Royal Caribbean Cruises, Ltd. 38,532 ------------------------------------------------------------------------------------------------------------------------ 685,062 ------------------------------------------------------------------------------------------------------------------------ Machinery (0.3%) ........................................................................................................................ 922 Briggs & Stratton 35,349 ........................................................................................................................ 1,203 Kennametal, Inc. 44,030 ------------------------------------------------------------------------------------------------------------------------ 79,379 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (0.1%) ........................................................................................................................ 665 Pentair, Inc. 31,973 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (0.4%) ........................................................................................................................ 393 Bio-Rad Laboratories, Inc. Class A (NON) 17,885 ........................................................................................................................ 985 C.R. Bard, Inc. 55,731 ........................................................................................................................ 1,690 Pall Corp. 35,068 ------------------------------------------------------------------------------------------------------------------------ 108,684 ------------------------------------------------------------------------------------------------------------------------ Metals (0.3%) ........................................................................................................................ 4,288 AK Steel Holding Corp. (NON) 54,929 ........................................................................................................................ 1,500 Steel Dynamics, Inc. (NON) 24,705 ------------------------------------------------------------------------------------------------------------------------ 79,634 ------------------------------------------------------------------------------------------------------------------------ Office Equipment & Supplies (0.1%) ........................................................................................................................ 2,066 Global Imaging Systems, Inc. (NON) 39,233 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (6.6%) ........................................................................................................................ 28,130 Exxon Mobil Corp. 1,151,080 ........................................................................................................................ 2,090 Pioneer Natural Resources Co. (NON) 54,445 ........................................................................................................................ 8,400 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 464,268 ------------------------------------------------------------------------------------------------------------------------ 1,669,793 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (8.4%) ........................................................................................................................ 968 ICN Pharmaceuticals, Inc. 23,435 ........................................................................................................................ 17,530 Johnson & Johnson 916,118 ........................................................................................................................ 28,904 Pfizer, Inc. 1,011,640 ........................................................................................................................ 3,650 Wyeth 186,880 ------------------------------------------------------------------------------------------------------------------------ 2,138,073 ------------------------------------------------------------------------------------------------------------------------ Publishing (0.1%) ........................................................................................................................ 690 Belo Corp. Class A 15,601 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.3%) ........................................................................................................................ 1,090 Arden Realty, Inc. (R) 31,011 ........................................................................................................................ 1,970 FelCor Lodging Trust, Inc. (R) 36,150 ------------------------------------------------------------------------------------------------------------------------ 67,161 ------------------------------------------------------------------------------------------------------------------------ Retail (11.6%) ........................................................................................................................ 6,650 AutoZone, Inc. (NON) 514,045 ........................................................................................................................ 1,353 Barnes & Noble, Inc. (NON) 35,760 ........................................................................................................................ 1,755 Charlotte Russe Holding, Inc. (NON) 39,189 ........................................................................................................................ 1,501 Cost Plus, Inc. (NON) 45,901 ........................................................................................................................ 1,090 Duane Reade, Inc. (NON) 37,115 ........................................................................................................................ 13,600 Family Dollar Stores, Inc. 479,400 ........................................................................................................................ 36,500 Kroger Co. (NON) 726,350 ........................................................................................................................ 54,460 TJX Companies, Inc. (The) 1,067,961 ------------------------------------------------------------------------------------------------------------------------ 2,945,721 ------------------------------------------------------------------------------------------------------------------------ Schools (0.1%) ........................................................................................................................ 1,198 Learning Tree International, Inc. (NON) 22,211 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (0.7%) ........................................................................................................................ 1,757 Applied Films Corp. (NON) 19,608 ........................................................................................................................ 2,532 Cognex Corp. (NON) 50,767 ........................................................................................................................ 3,106 Credence Systems Corp. (NON) 55,194 ........................................................................................................................ 3,402 Mykrolis Corp. (NON) 40,178 ........................................................................................................................ 1,032 Nanometrics, Inc. (NON) 16,387 ------------------------------------------------------------------------------------------------------------------------ 182,134 ------------------------------------------------------------------------------------------------------------------------ Shipping (0.2%) ........................................................................................................................ 675 Teekay Shipping Corp. (Bahamas) 24,914 ........................................................................................................................ 785 USFreightways Corp. 29,728 ------------------------------------------------------------------------------------------------------------------------ 54,642 ------------------------------------------------------------------------------------------------------------------------ Software (6.5%) ........................................................................................................................ 2,300 Borland Software Corp. (NON) 23,690 ........................................................................................................................ 1,342 HNC Software (NON) 22,411 ........................................................................................................................ 18,835 Microsoft Corp. (NON) 1,030,275 ........................................................................................................................ 1,589 Network Associates, Inc. (NON) 30,620 ........................................................................................................................ 40,400 Oracle Corp. (NON) 382,588 ........................................................................................................................ 11,700 Siebel Systems, Inc. (NON) 166,374 ------------------------------------------------------------------------------------------------------------------------ 1,655,958 ------------------------------------------------------------------------------------------------------------------------ Technology Services (2.4%) ........................................................................................................................ 13,200 Automatic Data Processing, Inc. 574,860 ........................................................................................................................ 3,097 KPMG Consulting, Inc. (NON) 46,021 ------------------------------------------------------------------------------------------------------------------------ 620,881 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.8%) ........................................................................................................................ 1,410 Garmin, Ltd. (Cayman Islands) (NON) 31,091 ........................................................................................................................ 51,100 Nextel Communications, Inc. Class A (NON) 164,031 ------------------------------------------------------------------------------------------------------------------------ 195,122 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.1%) ........................................................................................................................ 2,590 Tommy Hilfiger Corp. (Hong Kong) (NON) 37,089 ------------------------------------------------------------------------------------------------------------------------ Tobacco (4.0%) ........................................................................................................................ 23,550 Philip Morris Companies, Inc. 1,028,664 ------------------------------------------------------------------------------------------------------------------------ Toys (0.2%) ........................................................................................................................ 4,516 Hasbro, Inc. 61,237 ------------------------------------------------------------------------------------------------------------------------ Transportation Services (0.1%) ........................................................................................................................ 1,620 Pacer International, Inc. (NON) 27,929 ------------------------------------------------------------------------------------------------------------------------ Waste Management (2.7%) ........................................................................................................................ 26,055 Waste Management, Inc. 678,733 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $25,558,533) $24,453,641 ------------------------------------------------------------------------------------------------------------------------ PURCHASED OPTIONS OUTSTANDING (0.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Contract Amount Strike Price Value ........................................................................................................................ 36,500 Kroger Co. (Call) Sep. 02/ 19.00 USD $27,010 ........................................................................................................................ 11,000 Qualcomm (Call) Jan. 03/ 5.00 USD 6,050 ------------------------------------------------------------------------------------------------------------------------ Total Purchased Options Outstanding (cost $69,448) $33,060 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (4.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $75,000 U.S. Treasury Bill zero %, December 12, 2002 for an effective yield of 1.79% $74,383 ........................................................................................................................ 897,777 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 897,777 ........................................................................................................................ 121,968 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) 121,894 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $1,094,054) $1,094,054 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $26,722,035) (b) $25,580,755 ------------------------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Face Expiration Unrealized Market Value Value Date Depreciation .............................................................................. S&P 500 (Long) $495,051 $499,509 Sep-02 $(4,458) ------------------------------------------------------------------------------ Written Options Outstanding at June 30, 2002 (Unaudited) (premium received $19,624) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amount Strike Price Value .............................................................................. 36,500 Kroger Co. (Call) Sep. 02/ 21.00 USD $28,726 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Diversified Income Fund The fund's portfolio June 30, 2002 (Unaudited) CORPORATE BONDS AND NOTES (48.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Advertising and Marketing Services (--%) ........................................................................................................................ $770,418 Interact Operating Co. notes 14s, 2003 (PIK) $77 ........................................................................................................................ 220,000 Lamar Media Corp. company guaranty 9 5/8s, 2006 227,700 ------------------------------------------------------------------------------------------------------------------------ 227,777 ------------------------------------------------------------------------------------------------------------------------ Automotive (1.3%) ........................................................................................................................ 510,000 Asbury Automotive Group, Inc. 144A sr. sub. notes 9s, 2012 480,675 ........................................................................................................................ 310,991 Collins & Aikman Products, Inc. bank term loan FRN Ser. B, 7s, 2005 (acquired 12/20/01, cost $307,881) (RES) 312,546 ........................................................................................................................ 690,000 Collins & Aikman Products, Inc. company guaranty 11 1/2s, 2006 655,500 ........................................................................................................................ 700,000 Collins & Aikman Products, Inc. 144A sr. notes 10 3/4s, 2011 700,000 ........................................................................................................................ 730,000 Dana Corp. notes 9s, 2011 715,400 ........................................................................................................................ 100,000 Dana Corp. notes 7s, 2029 74,000 ........................................................................................................................ 320,000 Dana Corp. notes 6 1/4s, 2004 300,800 ........................................................................................................................ 210,000 Delco Remy International, Inc. company guaranty 11s, 2009 184,275 ........................................................................................................................ 90,000 Delco Remy International, Inc. company guaranty 10 5/8s, 2006 76,050 ........................................................................................................................ 100,000 Delco Remy International, Inc. sr. notes 8 5/8s, 2007 92,500 ........................................................................................................................ 960,000 Dura Operating Corp. company guaranty Ser. D, 9s, 2009 931,200 ........................................................................................................................ 420,000 Dura Operating Corp. 144A sr. notes 8 5/8s, 2012 422,100 ........................................................................................................................ 450,000 Exide Corp. sr. notes 10s, 2005 (In default) (NON) 76,500 ........................................................................................................................ 120,000 Federal Mogul Corp. notes 7 7/8s, 2010 (In default) (NON) 26,400 ........................................................................................................................ 620,000 Federal Mogul Corp. notes 7 3/4s, 2006 (In default) (NON) 137,175 ........................................................................................................................ 170,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 172,569 ........................................................................................................................ 240,000 Hayes Lemmerz International, Inc. 144A company guaranty 11 7/8s, 2006 (In default) (NON) 187,200 ........................................................................................................................ 570,000 Lear Corp. company guaranty Ser. B, 8.11s, 2009 581,497 ........................................................................................................................ 935,000 Lear Corp. company guaranty Ser. B, 7.96s, 2005 954,411 ........................................................................................................................ 230,000 Tenaga Nasional Berhad company guaranty 11 5/8s, 2009 190,900 ........................................................................................................................ 370,000 United Auto Group, Inc. 144A sr. sub. notes 9 5/8s, 2012 373,700 ........................................................................................................................ 170,000 Venture Holdings Trust 144A sr. notes Ser. B, 9 1/2s, 2005 102,000 ------------------------------------------------------------------------------------------------------------------------ 7,747,398 ------------------------------------------------------------------------------------------------------------------------ Basic Materials (6.2%) ........................................................................................................................ 750,000 Acetex Corp. sr. notes 10 7/8s, 2009 (Canada) 783,750 ........................................................................................................................ 160,000 Airgas, Inc. company guaranty 9 1/8s, 2011 168,800 ........................................................................................................................ 940,000 AK Steel Corp. company guaranty 7 7/8s, 2009 940,000 ........................................................................................................................ 270,000 AK Steel Corp. company guaranty 7 3/4, 2012 268,650 ........................................................................................................................ 230,000 AK Steel Corp. sr. notes 9 1/8s, 2006 240,350 ........................................................................................................................ 1,350,000 American Standard Companies, Inc. company guaranty 7 5/8s, 2010 1,363,500 ........................................................................................................................ 207,665 Anker Coal Group, Inc. company guaranty Ser. B, 14 1/4s, 2007 (In default) (NON) (PIK) 68,529 ........................................................................................................................ 200,000 Appleton Papers, Inc. bank term loan FRN Ser. C, 5.115s, 2006 (acquired 6/4/02, cost $200,750) (RES) 200,875 ........................................................................................................................ 930,000 Appleton Papers, Inc. 144A sr. sub. notes 12 1/2s, 2008 930,000 ........................................................................................................................ 500,000 ARCO Chemical Co. deb. 9.8s, 2020 440,000 ........................................................................................................................ 250,000 Armco, Inc. sr. notes 9s, 2007 255,313 ........................................................................................................................ 870,000 Avecia Group PLC company guaranty 11s, 2009 (United Kingdom) 861,300 ........................................................................................................................ 550,000 Better Minerals & Aggregates Co. company guaranty 13s, 2009 495,000 ........................................................................................................................ 480,000 Centaur Mining & Exploration company guaranty 11s, 2007 (Australia) (In default) (NON) 28,800 ........................................................................................................................ 470,000 Compass Minerals Group, Inc. company guaranty 10s, 2011 493,500 ........................................................................................................................ 790,000 Doe Run Resources Corp. company guaranty Ser. B, 11 1/4s, 2005 (In default) (NON) 205,400 ........................................................................................................................ 120,000 Doe Run Resources Corp. company guaranty Ser. B(a), 11 1/4s, 2005 (In default) (NON) 38,400 ........................................................................................................................ 270,000 Doe Run Resources Corp. company guaranty FRN Ser. B, 8.536s, 2003 (In default) (NON) 62,100 ........................................................................................................................ 1,440,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 1,375,200 ........................................................................................................................ 230,000 Ferro Corp. sr. notes 9 1/8s, 2009 249,762 ........................................................................................................................ 720,000 Four M Corp. sr. notes Ser. B, 12s, 2006 745,200 ........................................................................................................................ 150,000 Georgia Gulf Corp. company guaranty 10 3/8s, 2007 157,500 ........................................................................................................................ 640,000 Georgia-Pacific Corp. notes 8 7/8s, 2031 593,542 ........................................................................................................................ 300,000 Georgia-Pacific Corp. notes 8 1/8s, 2011 284,058 ........................................................................................................................ 130,000 Georgia-Pacific Corp. notes 7 1/2s, 2006 125,194 ........................................................................................................................ 220,000 Haynes International, Inc. sr. notes 11 5/8s, 2004 174,350 ........................................................................................................................ 1,260,000 Hercules, Inc. company guaranty 11 1/8s, 2007 1,411,200 ........................................................................................................................ 180,501 Huntsman Corp. bank term loan FRN Ser. A, 5.881s, 2002 (acquired various dates 3/1/02 to 3/11/02, cost $129,793) (RES) 158,841 ........................................................................................................................ 197,500 Huntsman Corp. bank term loan FRN Ser. C, 5.381s, 2005 (acquired various dates 3/6/02 to 3/11/02, cost $156,288) (RES) 173,800 ........................................................................................................................ 1,150,000 Huntsman ICI Chemicals, Inc. company guaranty 10 1/8s, 2009 1,012,000 ........................................................................................................................ 910,000 Huntsman ICI Holdings sr. disc. notes zero %, 2009 218,400 ........................................................................................................................ 330,000 IMC Global, Inc. company guaranty Ser. B, 11 1/4s, 2011 355,486 ........................................................................................................................ 410,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 439,877 ........................................................................................................................ 1,290,000 ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011 1,322,250 ........................................................................................................................ 60,000 Kaiser Aluminum & Chemical Corp. sr. notes Ser. B, 10 7/8s, 2006 (In default) (NON) 47,400 ........................................................................................................................ 1,520,000 Kaiser Aluminum & Chemical Corp. sr. sub. notes 12 3/4s, 2003 (In default) (NON) 288,800 ........................................................................................................................ 1,040,000 LTV Corp. company guaranty 11 3/4s, 2009 (In default) (NON) 5,200 ........................................................................................................................ 170,000 Lyondell Chemical Co. bonds 11 1/8s, 2012 168,725 ........................................................................................................................ 1,850,000 Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 1,757,500 ........................................................................................................................ 225,000 Lyondell Chemical Co. sr. sub. notes 10 7/8s, 2009 194,625 ........................................................................................................................ 190,000 Messer Griesheim Holdings AG sr. notes 10 3/8s, 2011 (Germany) 205,429 ........................................................................................................................ 320,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 329,600 ........................................................................................................................ 210,000 Millenium America, Inc. company guaranty 7s, 2006 197,593 ........................................................................................................................ 340,000 Millenium America, Inc. 144A sr. notes 9 1/4s, 2008 343,366 ........................................................................................................................ 380,000 Nortek, Inc. sr. notes Ser. B, 8 7/8s, 2008 380,950 ........................................................................................................................ 80,000 Nortek, Inc. sr. sub. notes Ser. B, 9 7/8s, 2011 80,400 ........................................................................................................................ 290,000 Nortek, Inc. 144A sr. notes Ser. B, 9 1/8s, 2007 295,075 ........................................................................................................................ 400,000 Noveon, Inc. company guaranty Ser. B, 11s, 2011 429,500 ........................................................................................................................ 890,000 OM Group, Inc. company guaranty 9 1/4s, 2011 921,150 ........................................................................................................................ 240,000 Oregon Steel Mills 1st mtge. 11s, 2003 239,400 ........................................................................................................................ 298,000 P&L Coal Holdings Corp. company guaranty Ser. B, 9 5/8s, 2008 315,880 ........................................................................................................................ 880,000 Pacifica Papers, Inc. sr. notes 10s, 2009 (Canada) 940,500 ........................................................................................................................ 510,295 PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada) 357,207 ........................................................................................................................ 440,000 Phelps Dodge Corp. sr. notes 8 3/4s, 2011 451,074 ........................................................................................................................ 170,098 Pioneer Companies, Inc. sec. notes FRN 5.355s, 2006 117,368 ........................................................................................................................ 250,000 Polymer Group, Inc. company guaranty Ser. B, 9s, 2007 (In default) (NON) 50,000 ........................................................................................................................ 60,000 Polymer Group, Inc. company guaranty Ser. B, 8 3/4s, 2008 (In default) (NON) 12,000 ........................................................................................................................ 700,000 Potlatch Corp. company guaranty 10s, 2011 763,000 ........................................................................................................................ 1,040,000 Premium Standard Farms, Inc. sr. notes 9 1/4s, 2011 998,400 ........................................................................................................................ 550,000 Riverwood International Corp. bank term loan FRN Ser. C, 4.51s, 2007 (acquired 4/24/02, cost $555,653) (RES) 552,235 ........................................................................................................................ 1,890,000 Riverwood International Corp. company guaranty 10 7/8s, 2008 1,970,325 ........................................................................................................................ 740,000 Royster-Clark, Inc. 1st mtge. 10 1/4s, 2009 518,000 ........................................................................................................................ 250,000 Silgan Holdings, Inc. bank term loan FRN, Ser. B, 3.874s, 2007 (acquired 6/25/02, $250,000) (RES) 251,094 ........................................................................................................................ 660,000 Steel Dynamics, Inc. 144A sr. notes 9 1/2s, 2009 699,600 ........................................................................................................................ 410,000 Sterling Chemicals Holdings sr. disc. notes 13 1/2s, 2008 (In default) (NON) 2,050 ........................................................................................................................ 470,000 Sterling Chemicals, Inc. company guaranty Ser. B, 12 3/8s, 2006 (In default) (NON) 437,100 ........................................................................................................................ 696,290 Stone Container Corp. bank term loan FRN Ser. F, 5 1/8s, 2005 (acquired 10/19/01, cost $691,068) (RES) 696,508 ........................................................................................................................ 710,000 Stone Container Corp. sr. notes 9 3/4s, 2011 757,925 ........................................................................................................................ 300,000 Stone Container Corp. sr. notes 9 1/4s, 2008 313,500 ........................................................................................................................ 280,000 Stone Container Corp. 144A company guaranty 11 1/2s, 2006 (Canada) 296,800 ........................................................................................................................ 510,000 Stone Container Corp. 144A sr. notes 8 3/8s, 2012 513,188 ........................................................................................................................ 930,000 Tembec Industries, Inc. company guaranty 8 5/8s, 2009 (Canada) 948,600 ........................................................................................................................ 50,000 Texas Petrochemical Corp. sr. sub. notes 11 1/8s, 2006 42,000 ........................................................................................................................ 170,000 Texas Petrochemical Corp. sr. sub. notes Ser. B, 11 1/8s, 2006 132,600 ........................................................................................................................ 710,000 United States Steel, LLC 144A company guaranty 10 3/4s, 2008 734,850 ........................................................................................................................ 450,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 243,000 ........................................................................................................................ 70,000 Weirton Steel Corp 144A sr. notes 10 3/4s, 2005 (In default) (NON) 33,600 ........................................................................................................................ 820,000 Wheeling-Pittsburgh Steel Corp. sr. notes 9 1/4s, 2007 (In default) (NON) 16,400 ........................................................................................................................ 360,000 WHX Corp. sr. notes 10 1/2s, 2005 273,600 ------------------------------------------------------------------------------------------------------------------------ 35,964,044 ------------------------------------------------------------------------------------------------------------------------ Building Materials (0.3%) ........................................................................................................................ 220,000 Atrium Companies, Inc. company guaranty Ser. B, 10 1/2s, 2009 224,400 ........................................................................................................................ 290,000 Building Materials Corp. company guaranty 8s, 2008 237,800 ........................................................................................................................ 790,000 Dayton Superior Corp. company guaranty 13s, 2009 797,900 ........................................................................................................................ 790,000 Morrison Knudsen Corp. 144A sr. notes 11s, 2010 (In default) (NON) 165,900 ........................................................................................................................ 770,000 Owens Corning bonds 7 1/2s, 2018 (In default) (NON) 292,600 ........................................................................................................................ 250,000 Owens Corning notes 7 1/2s, 2005 (In default) (NON) 95,000 ------------------------------------------------------------------------------------------------------------------------ 1,813,600 ------------------------------------------------------------------------------------------------------------------------ Capital Goods (4.3%) ........................................................................................................................ 590,000 AEP Industries, Inc. sr. sub. notes 9 7/8s, 2007 587,050 ........................................................................................................................ 498,750 Alliant Techsystems, Inc. bank term loan FRN Ser. C, 4 1/8s, 2009 (acquired 5/7/02, cost $498,750) (RES) 504,049 ........................................................................................................................ 37,543 Allied Waste Industries, Inc. bank term loan FRN Ser. C, 4.931s, 2007 (acquired 2/27/02, cost $37,074) (RES) 37,184 ........................................................................................................................ 712,167 Allied Waste Industries, Inc. bank term loan FRN Ser. B, 4.664s, 2006 (acquired various dates 10/22/01 to 2/27/02, cost $699,926) (RES) 705,360 ........................................................................................................................ 3,590,000 Allied Waste Industries, Inc. company guaranty Ser. B, 10s, 2009 3,527,175 ........................................................................................................................ 270,000 Amkor Technologies, Inc. sr. notes 9 1/4s, 2006 221,400 ........................................................................................................................ 330,000 Amkor Technologies, Inc. Structured Notes (issued by STEERS Credit Linked Trust 2000) 12.58s, 2005 237,600 ........................................................................................................................ 570,000 Applied Extrusion Technologies, Inc. company guaranty Ser. B, 10 3/4s, 2011 513,000 ........................................................................................................................ 540,000 Argo-Tech Corp. company guaranty Ser. D, 8 5/8s, 2007 491,400 ........................................................................................................................ 810,000 Argo-Tech Corp. 144A company guaranty 8 5/8s, 2007 737,100 ........................................................................................................................ 90,000 BE Aerospace, Inc. sr. sub. notes 9 1/2s, 2008 86,850 ........................................................................................................................ 1,280,000 BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008 1,177,600 ........................................................................................................................ 950,000 Blount, Inc. company guaranty 13s, 2009 646,000 ........................................................................................................................ 520,000 Briggs & Stratton company guaranty 8 7/8s, 2011 545,532 ........................................................................................................................ 1,070,000 Browning-Ferris Industries, Inc. deb. 7.4s, 2035 791,800 ........................................................................................................................ 510,000 Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008 442,425 ........................................................................................................................ 30,000 Case Corp. notes 7 1/4s, 2016 23,400 ........................................................................................................................ 820,000 Decrane Aircraft Holdings Co. company guaranty Ser. B, 12s, 2008 752,350 ........................................................................................................................ 710,000 Earle M. Jorgensen Co. 144A sec. notes 9 3/4s, 2012 710,000 ........................................................................................................................ 500,000 Flowserve Corp. bank term loan FRN Ser. C, 4.804s, 2009 (acquired 4/30/02, cost $500,000) (RES) 504,844 ........................................................................................................................ 616,000 Flowserve Corp. company guaranty 12 1/4s, 2010 693,000 ........................................................................................................................ 680,000 Hexcel Corp. sr. sub. notes 9 3/4s, 2009 516,800 ........................................................................................................................ 470,000 High Voltage Engineering Corp. sr. notes 10 3/4s, 2004 169,200 ........................................................................................................................ 300,000 IESI Corp. 144A sr. sub. notes 10 1/4s, 2012 300,000 ........................................................................................................................ 410,000 Insilco Holding Co. sr. disc. notes stepped-coupon zero % (14s, 8/15/03), 2008 (STP) 20,500 ........................................................................................................................ 450,000 Jackson Products, Inc. company guaranty Ser. B, 9 1/2s, 2005 301,500 ........................................................................................................................ 400,000 JLG Industries, Inc. 144A sr. sub. notes 8 3/8s, 2012 398,000 ........................................................................................................................ 140,000 Jordan Industries, Inc. sr. notes Ser. D, 10 3/8s, 2007 98,000 ........................................................................................................................ 170,000 Joy Global, Inc. company guaranty Ser. B, 8 3/4s, 2012 174,250 ........................................................................................................................ 400,000 L-3 Communications Corp. company guaranty Ser. B, 8s, 2008 404,000 ........................................................................................................................ 320,000 L-3 Communications Corp. sr. sub. notes 8 1/2s, 2008 328,000 ........................................................................................................................ 440,000 L-3 Communications Corp. sr. sub. notes Ser. B, 10 3/8s, 2007 464,332 ........................................................................................................................ 250,000 L-3 Communications Corp. 144A Structured Notes (issued by Credit and Repackaged Securities) 8 1/2s, 2006 (Cayman Islands) 265,313 ........................................................................................................................ 170,000 Laidlaw, Inc. deb. 8 3/4s, 2025 (Canada) (In default) (NON) 105,400 ........................................................................................................................ 110,000 Laidlaw, Inc. deb. 8 1/4s, 2023 (Canada) (In default) (NON) 70,400 ........................................................................................................................ 580,000 Laidlaw, Inc. notes 7.65s, 2006 (Canada) (In default) (NON) 368,300 ........................................................................................................................ 250,000 Michigan Electric Transmission Co./Michigan Electric Transmission, Inc. bank term loan FRN Ser. B, 4.35s, 2007 (acquired 4/22/02, cost $250,000) (RES) 251,875 ........................................................................................................................ 370,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 377,400 ........................................................................................................................ 950,000 Motors and Gears, Inc. sr. notes Ser. D, 10 3/4s, 2006 893,000 ........................................................................................................................ 200,000 Mueller Industries, Inc. bank term loan FRN Ser. E, 4.599s, 2008 (acquired 6/21/02, cost $200,000) (RES) 200,813 ........................................................................................................................ 830,000 Owens-Brockway Glass 144A sec. notes 8 7/8s, 2009 830,000 ........................................................................................................................ 700,000 Owens-Illinois, Inc. debs. 7.8s, 2018 577,500 ........................................................................................................................ 300,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 279,000 ........................................................................................................................ 350,000 Pliant Corp. company guaranty 13s, 2010 365,750 ........................................................................................................................ 200,000 Pliant Corp. sr. sub. notes 13s, 2010 209,000 ........................................................................................................................ 590,000 Roller Bearing Company of America company guaranty Ser. B, 9 5/8s, 2007 564,925 ........................................................................................................................ 940,000 Tekni-Plex, Inc. company guaranty Ser. B, 12 3/4s, 2010 972,900 ........................................................................................................................ 140,000 Terex Corp. company guaranty 8 7/8s, 2008 142,100 ........................................................................................................................ 300,000 Terex Corp. company guaranty Ser. B, 10 3/8s, 2011 322,500 ........................................................................................................................ 230,000 Terex Corp. company guaranty Ser. D, 8 7/8s, 2008 230,000 ........................................................................................................................ 200,000 Trimas Corp. bank term loan FRN Ser. B, 6 1/2s, 2009 (acquired 6/5/02, cost $200,000) (RES) 201,750 ........................................................................................................................ 340,000 Trimas Corp. 144A sr. sub. notes 9 7/8s, 2012 343,400 ........................................................................................................................ 223,389 United Defense Industries, Inc. bank term loan FRN Ser. B, 4.637s, 2009 (acquired 10/19/01, cost $223,389) (RES) 223,877 ........................................................................................................................ 100,000 Waste Management, Inc. sr. notes 7 3/8s, 2010 104,118 ------------------------------------------------------------------------------------------------------------------------ 25,009,022 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (0.3%) ........................................................................................................................ 207,900 Coinmach Corp. bank term loan FRN Ser. B, 4.981s, 2009 (acquired 1/31/02, cost $207,640) (RES) 209,524 ........................................................................................................................ 1,210,000 Coinmach Corp. 144A sr. notes 9s, 2010 1,210,000 ------------------------------------------------------------------------------------------------------------------------ 1,419,524 ------------------------------------------------------------------------------------------------------------------------ Communication Services (3.2%) ........................................................................................................................ 960,000 360Networks, Inc. sr. notes 13s, 2008 (Canada) (In default) (NON) 9,600 ........................................................................................................................ 710,000 Airgate PCS, Inc. sr. sub. notes stepped-coupon zero % (13 1/2s, 10/1/04), 2009 (STP) 142,000 ........................................................................................................................ 560,000 Alamosa Delaware, Inc. company guaranty 13 5/8s, 2011 168,000 ........................................................................................................................ 250,000 Alamosa Delaware, Inc. company guaranty 12 1/2s, 2011 70,000 ........................................................................................................................ 1,204,000 Alamosa PCS Holdings, Inc. company guaranty stepped-coupon zero % (12 7/8s, 2/15/05), 2010 (STP) 156,520 ........................................................................................................................ 20,817 American Cellular Corp. bank term loan FRN Ser. B, 5.02s, 2008 (acquired 2/29/00, cost $20,816) (RES) 15,009 ........................................................................................................................ 960,000 American Cellular Corp. company guaranty 9 1/2s, 2009 153,600 ........................................................................................................................ 1,530,000 American Tower Corp. sr. notes 9 3/8s, 2009 841,500 ........................................................................................................................ 340,000 Arch Communications, Inc. sr. notes 13 3/4s, 2008 (In default) (NON) 1,700 ........................................................................................................................ 3,000 Arch Wireless Holdings, Inc. sec. notes 10s, 2007 2,490 ........................................................................................................................ 2,000 Arch Wireless Holdings, Inc. sub. notes 12s, 2009 1,660 ........................................................................................................................ 490,000 Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) (NON) 117,600 ........................................................................................................................ 410,000 Birch Telecommunications, Inc. sr. notes 14s, 2008 (In default) (NON) 4,100 ........................................................................................................................ 101,916 Call-Net Enterprises, Inc. company guaranty 10 5/8s, 2008 (Canada) 33,632 ........................................................................................................................ 396,433 Colo.com, Inc. 144A sr. notes 13 7/8s, 2010 (In default) (NON) 7,929 ........................................................................................................................ 750,000 Crown Castle International Corp. sr. disc. notes stepped-coupon zero % (10 3/8s, 5/15/04), 2011 (STP) 337,500 ........................................................................................................................ 110,000 Crown Castle International Corp. sr. notes 10 3/4s, 2011 71,500 ........................................................................................................................ 760,000 Crown Castle International Corp. sr. notes 9 3/8s, 2011 478,800 ........................................................................................................................ 1,940,000 Cybernet Internet Services International, Inc. 144A sr. disc. notes stepped-coupon zero % (13s, 8/15/04), 2009 (Denmark) (STP) 194 ........................................................................................................................ 840,000 Dobson/Sygnet Communications, Inc. sr. notes 12 1/4s, 2008 520,800 ........................................................................................................................ 580,000 Econophone, Inc. company guaranty 13 1/2s, 2007 (In default) (NON) 580 ........................................................................................................................ 750,000 Equinix, Inc. sr. notes 13s, 2007 112,500 ........................................................................................................................ 280,000 Esprit Telecom Group PLC sr. notes 11 1/2s, 2007 (United Kingdom) (In default) (NON) 700 ........................................................................................................................ 1,250,000 Firstworld Communication Corp. sr. disc. notes stepped-coupon zero % (13s, 4/15/03), 2008 (In default) (NON) (STP) 125,000 ........................................................................................................................ 520,000 FLAG, Ltd. 144A sr. notes 8 1/4s, 2008 (Bermuda) (In default) (NON) 26,000 ........................................................................................................................ 80,000 Global Crossing Holdings, Ltd. company guaranty 9 5/8s, 2008 (Bermuda) (In default) (NON) 600 ........................................................................................................................ 130,000 Global Crossing Holdings, Ltd. company guaranty 9 1/2s, 2009 (Bermuda) (In default) (NON) 975 ........................................................................................................................ 1,900,000 Global Crossing Holdings, Ltd. company guaranty 9 1/8s, 2006 (Bermuda) (In default) (NON) 14,250 ........................................................................................................................ 1,310,000 Globix Corp. sr. notes 12 1/2s, 2010 (In default) (NON) 229,250 ........................................................................................................................ 140,000 Horizon PCS, Inc. 144A sr. notes 13 3/4s, 2011 46,200 ........................................................................................................................ 1,000,000 Hughes Electronics bank term loan FRN Ser. L, 5.38s, 2002 (acquired 3/15/02, cost $1,000,000) (RES) 1,002,188 ........................................................................................................................ 140,000 Hyperion Telecommunications Corp., Inc. sr. disc. notes Ser. B, zero %, 2003 (In default) (NON) 350 ........................................................................................................................ 1,100,000 Hyperion Telecommunications Corp., Inc. sr. sub. notes 12s, 2007 (In default) (NON) 2,750 ........................................................................................................................ 60,000 Intermedia Communications, Inc. sr. notes Ser. B, 8.6s, 2008 19,200 ........................................................................................................................ 790,000 iPCS, Inc. sr. disc. notes stepped-coupon zero % (14s, 7/15/05), 2010 (STP) 118,500 ........................................................................................................................ 680,000 IWO Holdings, Inc. company guaranty 14s, 2011 261,800 ........................................................................................................................ 900,000 Leap Wireless International, Inc. company guaranty 12 1/2s, 2010 108,000 ........................................................................................................................ 466,000 Level 3 Communications, Inc. sr. disc. notes stepped-coupon zero % (10 1/2s, 12/1/03), 2008 (STP) 83,880 ........................................................................................................................ 1,230,000 McCaw International, Ltd. sr. disc. notes 13s, 2007 (In default) (NON) 12,300 ........................................................................................................................ 190,000 Metrocall, Inc. sr. sub. notes 11s, 2008 (In default) (NON) 1,900 ........................................................................................................................ 150,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 (In default) (NON) 375 ........................................................................................................................ 160,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 (In default) (NON) 1,200 ........................................................................................................................ 330,000 Metromedia Fiber Network, Inc. sr. notes 10s, 2009 (In default) (NON) 3,300 ........................................................................................................................ 640,000 Metromedia Fiber Network, Inc. sr. notes Ser. B, 10s, 2008 (In default) (NON) 6,400 ........................................................................................................................ 790,000 Microcell Telecommunications sr. disc. notes Ser. B, 14s, 2006 (Canada) 79,000 ........................................................................................................................ 370,000 Millicom International Cellular SA sr. disc. notes 13 1/2s, 2006 (Luxembourg) 129,500 ........................................................................................................................ 640,000 Nextel Communications, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 10/31/02), 2007 (STP) 320,000 ........................................................................................................................ 900,000 Nextel Communications, Inc. sr. notes 12s, 2008 495,000 ........................................................................................................................ 1,810,000 Nextel Communications, Inc. sr. notes 9 1/2s, 2011 905,000 ........................................................................................................................ 2,230,000 Nextel Communications, Inc. sr. notes 9 3/8s, 2009 1,131,725 ........................................................................................................................ 300,000 Nextel Partners, Inc. sr. notes 12 1/2s, 2009 126,000 ........................................................................................................................ 660,000 Nextel Partners, Inc. sr. notes 11s, 2010 264,000 ........................................................................................................................ 90,000 Nextel Partners, Inc. sr. notes 11s, 2010 34,200 ........................................................................................................................ 220,000 NorthEast Optic Network, Inc. sr. notes 12 3/4s, 2008 (In default) (NON) 27,500 ........................................................................................................................ 500,000 Orbital Imaging Corp. sr. notes Ser. B, 11 5/8s, 2005 (In default) (NON) 55,000 ........................................................................................................................ 60,000 Orbital Imaging Corp. sr. notes Ser. D, 11 5/8s, 2005 (In default) (NON) 6,600 ........................................................................................................................ 440,000 PanAmSat Corp. bank term loan FRN Ser. B, 5.34s, 2009 (acquired 2/21/02, cost $439,450) (RES) 440,825 ........................................................................................................................ 690,000 PanAmSat Corp. 144A sr. notes 8 1/2s, 2012 640,134 ........................................................................................................................ 1,075,000 Price Communications Wireless, Inc. 144A sr. notes 9 1/8s, 2006 1,119,344 ........................................................................................................................ 150,000 PSINet, Inc. sr. notes 11 1/2s, 2008 (In default) (NON) 14,625 ........................................................................................................................ 110,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 (In default) (NON) 10,725 ........................................................................................................................ 100,000 Qwest Capital Funding, Inc. company guaranty 7.9s, 2010 55,500 ........................................................................................................................ 500,000 Qwest Capital Funding, Inc. company guaranty 7 3/4s, 2006 305,000 ........................................................................................................................ 760,000 Qwest Capital Funding, Inc. company guaranty 7s, 2009 414,200 ........................................................................................................................ 170,000 Qwest Capital Funding, Inc. company guaranty 6 3/8s, 2008 91,800 ........................................................................................................................ 390,000 Qwest Communications International, Inc. sr. notes Ser. B, 7 1/2s, 2008 232,050 ........................................................................................................................ 440,000 Qwest Communications International, Inc. sr. notes Ser. B, 7 1/4s, 2008 259,600 ........................................................................................................................ 330,000 Qwest Corp. 144A notes 8 7/8s, 2012 391,600 ........................................................................................................................ 90,000 Rhythms Netconnections, Inc. sr. notes Ser. B, 14s, 2010 (In default) (NON) 4,950 ........................................................................................................................ 500,000 Rogers Cablesystems, Ltd. sr. notes Ser. B, 10s, 2005 (Canada) 532,500 ........................................................................................................................ 570,000 Rogers Cablesystems, Ltd. sr. sub. notes 8.8s, 2007 (Canada) 359,100 ........................................................................................................................ 290,000 Rogers Wireless, Inc. sec. notes 9 5/8s, 2011 (Canada) 191,400 ........................................................................................................................ 500,000 RSL Communications PLC company guaranty stepped-coupon zero % (10 1/8s, 3/1/03), 2008 (Bermuda) (In default) (NON) (STP) 7,500 ........................................................................................................................ 427,000 RSL Communications, Ltd. company guaranty 12 1/4s, 2006 (Bermuda) (In default) (NON) 8,540 ........................................................................................................................ 557,904 Rural Cellular Corp. bank term loan FRN Ser. C, 5.4s, 2009 (acquired 4/23/01, cost $543,399) (RES) 481,890 ........................................................................................................................ 300,000 Rural Cellular Corp. sr. sub. notes Ser. B, 9 5/8s, 2008 135,000 ........................................................................................................................ 550,000 SBA Communications Corp. sr. notes 10 1/4s, 2009 316,250 ........................................................................................................................ 850,000 Spectrasite Holdings, Inc. sr. disc. notes stepped-coupon zero % (11 1/8s, 4/15/04), 2009 (STP) 216,750 ........................................................................................................................ 830,000 Startec Global Communications Corp. sr. notes 12s, 2008 (In default) (NON) 16,600 ........................................................................................................................ 250,000 Tele1 Europe B.V. sr. notes 13s, 2009 (Netherlands) 32,500 ........................................................................................................................ 122,000 Telecorp PCS, Inc. company guaranty 10 5/8s, 2010 120,720 ........................................................................................................................ 360,000 Telehub Communications Corp. company guaranty stepped-coupon zero % (13 7/8s, 7/31/02), 2005 (In default) (NON) (STP) 1 ........................................................................................................................ 520,000 Time Warner Telecom, Inc. sr. notes 9 3/4s, 2008 244,400 ........................................................................................................................ 158,000 Tritel PCS, Inc. company guaranty 10 3/8s, 2011 143,780 ........................................................................................................................ 50,000 Triton PCS, Inc. company guaranty 9 3/8s, 2011 32,000 ........................................................................................................................ 700,000 Triton PCS, Inc. company guaranty 8 3/4s, 2011 427,000 ........................................................................................................................ 80,000 Triton PCS, Inc. company guaranty zero %, 2008 48,000 ........................................................................................................................ 450,000 TSI Telecommunication Services, Inc. 144A sr. sub. notes 12 3/4s, 2009 432,000 ........................................................................................................................ 340,000 U S West, Inc. notes 5 5/8s, 2008 246,412 ........................................................................................................................ 1,420,000 UbiquiTel Operating Co. company guaranty stepped-coupon zero % (14s, 4/15/05), 2010 (STP) 213,000 ........................................................................................................................ 785,000 US UnWired, Inc. company guaranty stepped-coupon Ser. B, zero % (13 3/8s, 11/1/04), 2009 (STP) 188,400 ........................................................................................................................ 140,000 US West Capital Funding, Inc. company guaranty 6 7/8s, 2028 67,900 ........................................................................................................................ 790,000 WebLink Wireless, Inc. sr. disc. notes stepped-coupon zero % (11 1/4s, 2/1/03), 2008 (STP) 1,975 ........................................................................................................................ 750,000 Western Wireless Corp. bank term loan FRN Ser. B, 4.745s, 2008 (acquired 4/24/00, cost $750,000) (RES) 535,500 ........................................................................................................................ 190,000 Williams Communications Group, Inc. sr. notes 11.7s, 2008 (In default) (NON) 16,150 ........................................................................................................................ 180,000 Williams Communications Group, Inc. sr. notes 10.7s, 2007 (In default) (NON) 13,950 ........................................................................................................................ 3,296,000 WinStar Communications, Inc. sr. disc. notes stepped-coupon zero % (14 3/4s, 4/15/05), 2010 (In default) (NON) (STP) 330 ........................................................................................................................ 850,000 WinStar Communications, Inc. sr. notes 12 3/4s, 2010 (In default) (NON) 85 ........................................................................................................................ 90,000 WinStar Communications, Inc. sr. notes 12 1/2s, 2008 (In default) (NON) 9 ........................................................................................................................ 775,000 World Access, Inc. sr. notes Ser. B, 13 1/4s, 2008 (In default) (NON) 27,125 ........................................................................................................................ 220,000 WorldCom, Inc.-WorldCom Group notes 8 1/4s, 2010 (In default) (NON) 35,200 ........................................................................................................................ 580,000 WorldCom, Inc. notes 7 3/4s, 2007 (In default) (NON) 92,800 ........................................................................................................................ 330,000 WorldCom, Inc.-WorldCom Group notes 7 1/2s, 2011 (In default) (NON) 52,800 ........................................................................................................................ 480,000 WorldCom, Inc. sr. notes 6.4s, 2005 (In default) (NON) 76,800 ------------------------------------------------------------------------------------------------------------------------ 18,180,577 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (0.3%) ........................................................................................................................ 1,960,000 Tyco International Group SA company guaranty 6 3/8s, 2006 (Luxembourg) 1,558,200 ------------------------------------------------------------------------------------------------------------------------ Consumer (0.5%) ........................................................................................................................ $472,974 Derby Cycle Corp. (The) sr. notes 10s, 2008 (In default) (NON) 9,459 ........................................................................................................................ EUR 1,316,586 Derby Cycle Corp. (The) sr. notes 9 3/8s, 2008 (In default) (NON) 13,294 ........................................................................................................................ $470,000 Icon Health & Fitness 144A sr. sub. notes 11 1/4s, 2012 462,950 ........................................................................................................................ 970,000 Jostens, Inc. sr. sub. notes 12 3/4s, 2010 1,076,700 ........................................................................................................................ 1,500,000 Samsonite Corp. sr. sub. notes 10 3/4s, 2008 1,200,000 ------------------------------------------------------------------------------------------------------------------------ 2,762,403 ------------------------------------------------------------------------------------------------------------------------ Consumer Staples (8.6%) ........................................................................................................................ 880,000 Acme Television company guaranty 10 7/8s, 2004 888,800 ........................................................................................................................ 178,252 Adams Outdoor Advertising bank term loan FRN Ser. B, 5.475s, 2008 (acquired 8/1/01, cost $178,029) (RES) 179,441 ........................................................................................................................ 40,000 Adelphia Communications Corp. notes Ser. B, 9 7/8s, 2005 (In default) (NON) 15,800 ........................................................................................................................ 220,000 Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In default) (NON) 85,800 ........................................................................................................................ 570,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2011 (In default) (NON) 233,700 ........................................................................................................................ 150,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2006 (In default) (NON) 58,500 ........................................................................................................................ 10,000 Adelphia Communications Corp. sr. notes 9 3/8s, 2009 (In default) (NON) 4,000 ........................................................................................................................ 330,000 Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 (In default) (NON) 130,350 ........................................................................................................................ 110,000 Adelphia Communications Corp. sr. notes Ser. B, 8 3/8s, 2008 (In default) (NON) 42,900 ........................................................................................................................ 1,060,000 Adelphia Communications Corp. sr. notes Ser. B, 7 3/4s, 2009 (In default) (NON) 418,700 ........................................................................................................................ 1,340,000 Affinity Group Holdings sr. notes 11s, 2007 1,313,200 ........................................................................................................................ 910,000 AMC Entertainment, Inc. sr. sub. notes 9 1/2s, 2011 900,900 ........................................................................................................................ 320,000 AMC Entertainment, Inc. sr. sub. notes 9 1/2s, 2009 316,800 ........................................................................................................................ 460,000 AMF Bowling Worldwide bank term loan FRN Ser. B, 6 1/2s, 2008 (acquired 3/1/02, cost $458,850) (RES) 461,150 ........................................................................................................................ 960,000 Archibald Candy Corp. company guaranty 10 1/4s, 2004 (In default) (NON) 528,000 ........................................................................................................................ 370,000 Armkel, LLC/Armkel Finance sr. sub. notes 9 1/2s, 2009 385,725 ........................................................................................................................ 230,000 Aurora Foods, Inc. sr. sub. notes Ser. B, 9 7/8s, 2007 144,900 ........................................................................................................................ 700,000 Aurora Foods, Inc. 144A sr. sub. notes Ser. D, 9 7/8s, 2007 441,000 ........................................................................................................................ 10,795 Australis Media, Ltd. sr. disc. notes 15 3/4s, 2003 (Australia) (In default) (NON) (PIK) 1 ........................................................................................................................ 590,000 Benedek Communications Corp. sr. disc. notes 13 1/4s, 2006 (In default) (NON) 591,475 ........................................................................................................................ 190,000 British Sky Broadcasting PLC company guaranty 8.2s, 2009 (United Kingdom) 187,262 ........................................................................................................................ 1,500,000 British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) 1,379,805 ........................................................................................................................ 900,000 Century Cable Holdings bank term loan FRN 6 3/4s, 2009 (acquired various dates 6/5/02 to 6/11/02, cost $748,625) (RES) 666,643 ........................................................................................................................ 1,440,000 Chancellor Media Corp. company guaranty 8s, 2008 1,396,800 ........................................................................................................................ 490,000 Charter Communications Holdings, LLC bank term loan FRN Ser. B, 4.69s, 2008 (acquired 10/22/01, cost $478,975) (RES) 441,000 ........................................................................................................................ 800,000 Charter Communications Holdings, LLC sr. notes 11 1/8s, 2011 552,000 ........................................................................................................................ 360,000 Charter Communications Holdings, LLC sr. notes 10 3/4s, 2009 248,400 ........................................................................................................................ 290,000 Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 1/15/07), 2012 (STP) 92,800 ........................................................................................................................ 1,480,000 Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (11 3/4s, 5/15/06), 2011 (STP) 518,000 ........................................................................................................................ 30,000 Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (13 1/2s, 1/15/06), 2011 (STP) 11,250 ........................................................................................................................ 270,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2011 180,900 ........................................................................................................................ 500,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2009 337,500 ........................................................................................................................ 340,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 9 5/8s, 2009 226,100 ........................................................................................................................ 100,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 8 5/8s, 2009 67,000 ........................................................................................................................ 720,000 Cinemark USA, Inc. sr. sub. notes Ser. B, 9 5/8s, 2008 716,400 ........................................................................................................................ 140,000 Constellation Brands, Inc. company guaranty 8 1/2s, 2009 144,200 ........................................................................................................................ 550,000 Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 563,750 ........................................................................................................................ 750,000 Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012 776,250 ........................................................................................................................ 510,000 Cott Beverages USA, Inc. company guaranty 8s, 2011 515,100 ........................................................................................................................ 100,000 CSC Holdings, Inc. deb. 7 5/8s, 2018 71,613 ........................................................................................................................ 230,000 CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 181,185 ........................................................................................................................ 290,000 CSC Holdings, Inc. sr. sub. deb. 10 1/2s, 2016 217,500 ........................................................................................................................ 260,000 Cumulus Media, Inc. bank term loan FRN Ser. B, 4 7/8s, 2007 (acquired 3/20/02, cost $260,000) (RES) 262,015 ........................................................................................................................ 200,000 Del Monte Corp. company guaranty Ser. B, 9 1/4s, 2011 206,000 ........................................................................................................................ 2,840,000 Diamond Cable Communications PLC sr. disc. notes 10 3/4s, 2007 (United Kingdom) (In default) (NON) 710,000 ........................................................................................................................ 210,000 Diamond Cable Communications PLC sr. disc. notes 13 1/4s, 2004 (United Kingdom) (In default) (NON) 58,800 ........................................................................................................................ 990,000 Diamond Cable Communications PLC sr. disc. notes 11 3/4s, 2005 (United Kingdom) (In default) (NON) 247,500 ........................................................................................................................ 1,656,000 Diva Systems Corp. sr. disc. notes stepped-coupon Ser. B, zero % (12 5/8s, 3/1/03), 2008 (STP) 211,140 ........................................................................................................................ 750,000 Doane Pet Care Co. sr. sub. deb. 9 3/4s, 2007 660,000 ........................................................................................................................ 310,000 Domino's, Inc. company guaranty Ser. B, 10 3/8s, 2009 334,413 ........................................................................................................................ 305,000 Eagle Family Foods company guaranty Ser. B, 8 3/4s, 2008 234,850 ........................................................................................................................ 2,910,000 Echostar Broadband Corp. sr. notes 10 3/8s, 2007 2,764,500 ........................................................................................................................ 1,260,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 1,146,600 ........................................................................................................................ 1,020,000 Echostar DBS Corp. 144A sr. notes 9 1/8s, 2009 948,600 ........................................................................................................................ 400,000 Emmis Communications Corp. bank term loan FRN Ser. C, 4 3/8s, 2009 (acquired 6/20/02, cost $399,500) (RES) 401,833 ........................................................................................................................ 120,000 Emmis Communications Corp. company guaranty Ser. B, 8 1/8s, 2009 119,400 ........................................................................................................................ 279,000 Emmis Communications Corp. sr. disc. notes stepped-coupon zero % (12 1/2s, 3/15/06), 2011 (STP) 206,460 ........................................................................................................................ 500,000 Fleming Companies, Inc. bank term loan FRN 4 1/8s, 2008 (acquired 6/18/02, cost $501,875) (RES) 499,688 ........................................................................................................................ 710,000 Fleming Companies, Inc. company guaranty 10 1/8s, 2008 725,975 ........................................................................................................................ 10,000 Fleming Companies, Inc. company guaranty Ser. D, 10 5/8s, 2007 10,050 ........................................................................................................................ 410,000 Fleming Companies, Inc. sr. notes 9 1/4s, 2010 407,438 ........................................................................................................................ 50,000 Fleming Companies, Inc. 144A sr. sub. notes 9 7/8s, 2012 48,000 ........................................................................................................................ 170,000 Fox/Liberty Networks, LLC sr. disc. notes stepped-coupon zero % (9 3/4s, 8/15/02), 2007 (STP) 172,125 ........................................................................................................................ 710,000 Fox/Liberty Networks, LLC sr. notes 8 7/8s, 2007 724,200 ........................................................................................................................ 170,000 French Fragrances, Inc. company guaranty Ser. D, 10 3/8s, 2007 158,100 ........................................................................................................................ 140,000 French Fragrances, Inc. sr. notes Ser. B, 10 3/8s, 2007 126,000 ........................................................................................................................ 10,000 Granite Broadcasting Corp. sr. sub. notes 10 3/8s, 2005 9,700 ........................................................................................................................ 970,000 Granite Broadcasting Corp. sr. sub. notes 9 3/8s, 2005 892,400 ........................................................................................................................ 130,000 Granite Broadcasting Corp. sr. sub. notes 8 7/8s, 2008 117,000 ........................................................................................................................ 230,000 Great Atlantic & Pacific Tea Co. notes 7 3/4s, 2007 213,900 ........................................................................................................................ 220,000 Insight Communications Company, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 2/15/06), 2011 (STP) 88,000 ........................................................................................................................ 140,000 Insight Midwest LP/Insight Capital, Inc. bank term loan FRN 5.063s, 2009 (acquired 11/05/01, cost $139,738) (RES) 137,225 ........................................................................................................................ 930,000 International Cabletel, Inc. sr. disc. notes 11 1/2s, 2006 (In default) (NON) 269,700 ........................................................................................................................ 30,000 Iron Age Holdings Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 5/1/03), 2009 (STP) 2,063 ........................................................................................................................ 55,000 Knology Holdings, Inc. sr. disc. notes stepped-coupon zero % (11 7/8s, 10/15/02), 2007 (STP) 20,900 ........................................................................................................................ 230,000 LIN Holdings Corp. sr. disc. notes stepped-coupon zero % (10s, 3/1/03), 2008 (STP) 216,200 ........................................................................................................................ 110,000 LIN Holdings Corp. sr. disc. notes stepped-coupon zero % (10s, 3/1/03), 2008 (STP) 103,400 ........................................................................................................................ 350,000 LIN Television Corp. company guaranty 8 3/8s, 2008 348,688 ........................................................................................................................ 300,000 MGM Studios bank term loan FRN Ser. B, 4.81s, 2008 (acquired 6/10/02, cost $300,000) (RES) 301,406 ........................................................................................................................ 299,250 National Dairy bank term loan FRN Ser. B, 4.397s, 2009 (acquired 4/30/02, cost $299,250) (RES) 300,621 ........................................................................................................................ 915,000 North Atlantic Trading Co. company guaranty Ser. B, 11s, 2004 905,850 ........................................................................................................................ 440,000 Olympus Cable bank term loan FRN Ser. B, 6.75s, 2010 (acquired 6/20/02, cost $383,900) (RES) 368,754 ........................................................................................................................ 360,000 ONO Finance PLC sr. notes 14s, 2011 (United Kingdom) 129,600 ........................................................................................................................ 170,000 ONO Finance PLC sr. notes 13s, 2009 (United Kingdom) 54,400 ........................................................................................................................ 575,000 Outsourcing Solutions, Inc. sr. sub. notes Ser. B, 11s, 2006 488,750 ........................................................................................................................ 60,000 Pegasus Communications Corp. sr. notes Ser. B, 9 3/4s, 2006 31,800 ........................................................................................................................ 360,000 Pegasus Satellite sr. notes 12 3/8s, 2006 190,800 ........................................................................................................................ 200,000 Playtex Products, Inc. bank term loan FRN Ser. C, 4.09s, 2009 (acquired 5/8/01, cost $200,000) (RES) 201,250 ........................................................................................................................ 490,000 Playtex Products, Inc. company guaranty 9 3/8s, 2011 519,400 ........................................................................................................................ 580,000 Premier International Foods PLC sr. notes 12s, 2009 (United Kingdom) 635,100 ........................................................................................................................ 1,660,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 1,697,350 ........................................................................................................................ 1,710,656 Quorum Broadcast Holdings, LLC notes stepped-coupon zero % (15s, 5/15/06), 2009 (STP) 966,127 ........................................................................................................................ 790,000 RAB Enterprises, Inc. company guaranty 10 1/2s, 2005 474,000 ........................................................................................................................ 330,000 RCN Corp. sr. disc. notes stepped-coupon Ser. B, zero % (9.8s, 2/15/03), 2008 (STP) 62,700 ........................................................................................................................ 620,000 Regal Cinemas, Inc. 144A sr. sub. notes 9 3/8s, 2012 644,800 ........................................................................................................................ 240,000 Revlon Consumer Products sr. notes 9s, 2006 168,000 ........................................................................................................................ 230,000 Revlon Consumer Products sr. notes 8 1/8s, 2006 161,000 ........................................................................................................................ 340,000 Revlon Consumer Products sr. sub. notes 8 5/8s, 2008 153,000 ........................................................................................................................ 410,000 Rite Aid Corp. notes 7 1/8s, 2007 287,000 ........................................................................................................................ 500,000 Roundy's, Inc. bank term loan FRN Ser. B, 4.454s, 2009 (acquired 6/3/02, cost $500,000) (RES) 501,563 ........................................................................................................................ 490,000 Sbarro, Inc. company guaranty 11s, 2009 497,350 ........................................................................................................................ 410,000 Scotts Co. (The) company guaranty 8 5/8s, 2009 418,200 ........................................................................................................................ 670,000 Silver Cinemas, Inc. sr. sub. notes 10 1/2s, 2005 (In default) (NON) 67 ........................................................................................................................ 168,000 Sinclair Broadcast Group, Inc. bank term loan FRN Ser. B, 5.84s, 2009 (acquired 10/23/01, cost $164,955) (RES) 168,714 ........................................................................................................................ 910,000 Sinclair Broadcast Group, Inc. company guaranty 9s, 2007 920,238 ........................................................................................................................ 260,000 Sinclair Broadcast Group, Inc. company guaranty 8 3/4s, 2011 261,300 ........................................................................................................................ 50,000 Sinclair Broadcast Group, Inc. sr. sub. notes 8 3/4s, 2007 50,563 ........................................................................................................................ 150,000 Six Flags, Inc. sr. notes 9 1/2s, 2009 153,000 ........................................................................................................................ 570,000 Six Flags, Inc. sr. notes 8 7/8s, 2010 570,000 ........................................................................................................................ 300,000 Smithfield Foods, Inc. sr. notes Ser. B, 8s, 2009 302,250 ........................................................................................................................ 850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 790,500 ........................................................................................................................ 621,443 Suiza Foods Corp. bank term loan FRN Ser. B, 4.3s, 2008 (acquired 12/10/01, cost $625,585) (RES) 624,064 ........................................................................................................................ 1,170,000 TeleWest Communications PLC deb. 11s, 2007 (United Kingdom) 473,850 ........................................................................................................................ 220,000 TeleWest Communications PLC deb. 9 5/8s, 2006 (United Kingdom) 88,000 ........................................................................................................................ 220,000 TeleWest Communications PLC Structured Notes (issued by DLJ International Capital) 10 7/8s, 2005 (United Kingdom) 92,950 ........................................................................................................................ 80,000 Tricon Global Restaurants, Inc. sr. notes 8 7/8s, 2011 84,800 ........................................................................................................................ 920,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 933,800 ........................................................................................................................ 510,000 Tricon Global Restaurants, Inc. sr. notes 7.45s, 2005 517,650 ........................................................................................................................ 1,110,000 United Pan-Europe NV sr. disc. notes 12 1/2s, 2009 (Netherlands) 119,325 ........................................................................................................................ 2,100,000 United Pan-Europe NV sr. disc. notes stepped-coupon zero % (13 3/4s, 2/1/05), 2010 (Netherlands) (STP) 225,750 ........................................................................................................................ 260,000 United Rentals (North America), Inc. company guaranty Ser. B, 10 3/4s, 2008 276,900 ........................................................................................................................ 770,000 Vlasic Foods International, Inc. sr. sub. notes Ser. B, 10 1/4s, 2009 (In default) (NON) 165,550 ........................................................................................................................ 1,320,000 XM Satellite Radio Holdings, Inc. sec. notes 14s, 2010 567,600 ........................................................................................................................ 1,410,000 Young Broadcasting, Inc. company guaranty 10s, 2011 1,269,000 ........................................................................................................................ 140,000 Young Broadcasting, Inc. company guaranty Ser. B, 8 3/4s, 2007 126,000 ------------------------------------------------------------------------------------------------------------------------ 49,376,155 ------------------------------------------------------------------------------------------------------------------------ Energy (3.3%) ........................................................................................................................ 620,000 Belco Oil & Gas Corp. sr. sub. notes Ser. B, 8 7/8s, 2007 638,600 ........................................................................................................................ 570,000 BRL Universal Equipment sec. notes 8 7/8s, 2008 575,700 ........................................................................................................................ 340,000 Chesapeake Energy Corp. company guaranty 8 3/8s, 2008 338,300 ........................................................................................................................ 1,090,000 Chesapeake Energy Corp. company guaranty 8 1/8s, 2011 1,062,750 ........................................................................................................................ 370,000 Comstock Resources, Inc. company guaranty 11 1/4s, 2007 382,950 ........................................................................................................................ 410,000 Comstock Resources, Inc. 144A sr. notes 11 1/4s, 2007 414,100 ........................................................................................................................ 120,000 Denbury Resources, Inc. company guaranty Ser. B, 9s, 2008 118,800 ........................................................................................................................ 690,000 Dresser, Inc. company guaranty 9 3/8s, 2011 703,800 ........................................................................................................................ 390,000 El Paso Energy Partners L.P. company guaranty Ser. B, 8 1/2s, 2011 386,100 ........................................................................................................................ 360,000 Encore Acquisition Co. 144A sr. sub. notes 8 3/8s, 2012 360,000 ........................................................................................................................ 260,000 Forest Oil Corp. sr. notes 8s, 2011 260,000 ........................................................................................................................ 340,000 Forest Oil Corp. sr. notes 8s, 2008 341,700 ........................................................................................................................ 380,000 Forest Oil Corp. 144A sr. notes 7 3/4s, 2014 369,550 ........................................................................................................................ 330,000 Key Energy Services, Inc. company guaranty Ser. C, 8 3/8s, 2008 339,900 ........................................................................................................................ 500,000 Leviathan Gas Corp. company guaranty Ser. B, 10 3/8s, 2009 522,500 ........................................................................................................................ 230,000 Magnum Hunter Resources, Inc. 144A sr. notes 9.6s, 2012 235,750 ........................................................................................................................ 430,000 Mission Resources Corp. company guaranty Ser. C, 10 7/8s, 2007 382,700 ........................................................................................................................ 620,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 620,000 ........................................................................................................................ 180,000 Nuevo Energy Co. sr. sub. notes Ser. B, 9 1/2s, 2008 181,800 ........................................................................................................................ 1,000,000 Ocean Energy, Inc. company guaranty Ser. B, 8 3/8s, 2008 1,057,720 ........................................................................................................................ 480,000 Parker Drilling Co. company guaranty Ser. AI, 10 1/8s, 2009 492,000 ........................................................................................................................ 100,000 Parker Drilling Co. 144A company guaranty 10 1/8s, 2009 102,500 ........................................................................................................................ 1,120,000 Petronas Capital, Ltd. 144A company guaranty 7s, 2012 (Malaysia) 1,138,256 ........................................................................................................................ 1,580,000 Pioneer Natural Resources Co. company guaranty 9 5/8s, 2010 1,769,600 ........................................................................................................................ 520,000 Plans Exploration & Production Co. 144A sr. sub. notes 8 3/4s, 2012 511,555 ........................................................................................................................ 525,000 Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 525,000 ........................................................................................................................ 700,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 729,750 ........................................................................................................................ 280,000 Seven Seas Petroleum, Inc. sr. notes Ser. B, 12 1/2s, 2005 162,400 ........................................................................................................................ 190,000 Stone Energy Corp. company guaranty 8 3/4s, 2007 195,225 ........................................................................................................................ 650,000 Stone Energy Corp. sr. sub. notes 8 1/4s, 2011 654,875 ........................................................................................................................ 290,000 Swift Energy Co. sr. sub. notes 10 1/4s, 2009 275,500 ........................................................................................................................ 430,000 Swift Energy Co. sr. sub. notes 9 3/8s, 2012 408,500 ........................................................................................................................ 560,000 Trico Marine Services, Inc. 144A sr. notes 8 7/8s, 2012 554,400 ........................................................................................................................ 780,000 Vintage Petroleum, Inc. sr. sub. notes 9 3/4s, 2009 756,600 ........................................................................................................................ 340,000 Vintage Petroleum, Inc. 144A sr. notes 8 1/4s, 2012 334,050 ........................................................................................................................ 380,000 Westport Resources Corp. company guaranty 8 1/4s, 2011 387,600 ........................................................................................................................ 200,000 XCL, Ltd. 144A company guaranty 13 1/2s, 2004 (In default) (NON) 60,250 ........................................................................................................................ 360,000 XTO Energy, Inc. sr. notes 7 1/2s, 2012 365,400 ........................................................................................................................ 280,000 XTO Energy, Inc. 144A sr. sub. notes Ser. B, 8 3/4s, 2009 293,300 ------------------------------------------------------------------------------------------------------------------------ 19,009,481 ------------------------------------------------------------------------------------------------------------------------ Financial (2.4%) ........................................................................................................................ 1,240,000 Advanta Corp. 144A company guaranty Ser. B, 8.99s, 2026 756,400 ........................................................................................................................ 496,875 American Seafood Group, LLC bank term loan FRN Ser. B, 5.09s, 2009 (acquired 4/11/02, cost $496,378) (RES) 499,152 ........................................................................................................................ 640,000 AMRESCO, Inc. sr. sub. notes Ser. 97-A, 10s, 2004 (In default) (NON) 128,000 ........................................................................................................................ 110,000 Chevy Chase Savings Bank, Inc. sub. deb. 9 1/4s, 2008 111,100 ........................................................................................................................ 315,000 Chevy Chase Savings Bank, Inc. sub. deb. 9 1/4s, 2005 315,788 ........................................................................................................................ 525,000 Colonial Capital II 144A company guaranty 8.92s, 2027 473,833 ........................................................................................................................ 100,000 Comdisco, Inc. notes 7 1/4s, 2001 (In default) (DEF)(NON) 85,250 ........................................................................................................................ 70,000 Comdisco, Inc. notes 6 3/8s, 2001 (In default) (DEF)(NON) 58,363 ........................................................................................................................ 210,000 Comdisco, Inc. notes 5.95s, 2002 (In default) (DEF)(NON) 175,875 ........................................................................................................................ 160,000 Conseco Finance Trust III, Inc. bonds 8.796s, 2027 28,800 ........................................................................................................................ 370,000 Conseco, Inc. 144A company guaranty 10 3/4s, 2009 181,300 ........................................................................................................................ 120,000 Crescent Real Estate Equities LP notes 7 1/2s, 2007 117,600 ........................................................................................................................ 960,000 Crescent Real Estate Equities LP 144A sr. notes 9 1/4s, 2009 993,231 ........................................................................................................................ 65,000 Dime Capital Trust I bank guaranty Ser. A, 9.33s, 2027 70,883 ........................................................................................................................ 2,244,000 Finova Group, Inc. notes 7 1/2s, 2009 718,080 ........................................................................................................................ 1,070,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,132,937 ........................................................................................................................ 300,000 Hilb, Rogal & Hamilton Co. bank term loan FRN Ser. B, 4.625s, 2007 (acquired 6/20/02, cost $300,000) (RES) 301,875 ........................................................................................................................ 268,000 Imperial Credit Industries, Inc. sec. notes 12s, 2005 29,480 ........................................................................................................................ 630,000 iStar Financial, Inc. sr. notes 8 3/4s, 2008 630,000 ........................................................................................................................ 370,000 Nationwide Credit, Inc. sr. notes Ser. A, 10 1/4s, 2008 (In default) (NON) 105,450 ........................................................................................................................ 100,000 North Fork Capital Trust I company guaranty 8.7s, 2026 96,845 ........................................................................................................................ 9,949,501 Nykredit mtge. 6s, 2032 (Denmark) 1,282,684 ........................................................................................................................ 130,000 Ocwen Capital Trust I company guaranty 10 7/8s, 2027 105,300 ........................................................................................................................ 370,000 Ocwen Federal Bank sub. deb. 12s, 2005 370,000 ........................................................................................................................ 85,000 Ocwen Financial Corp. notes 11 7/8s, 2003 84,575 ........................................................................................................................ 120,000 Peoples Heritage Capital Trust company guaranty Ser. B, 9.06s, 2027 122,239 ........................................................................................................................ 365,000 Provident Capital Trust company guaranty 8.6s, 2026 322,423 ........................................................................................................................ 814,000 Reliance Group Holdings, Inc. sr. notes 9s, 2000 (In default) (DEF)(NON) 89,540 ........................................................................................................................ 680,000 Resource America, Inc. 144A sr. notes 12s, 2004 697,000 ........................................................................................................................ 1,880,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 2,068,000 ........................................................................................................................ 540,000 Superior Financial Corp. 144A sr. notes 8.65s, 2003 551,998 ........................................................................................................................ 450,000 Veridian Corp. bank term loan FRN Ser. B, 5.09s, 2006 (acquired various dates 5/9/02 to 5/14/02, cost $453,563) (RES) 450,900 ........................................................................................................................ 220,000 Webster Capital Trust I 144A bonds 9.36s, 2027 218,695 ........................................................................................................................ 490,000 Western Financial Bank sub. debs. 9 5/8s, 2012 485,100 ------------------------------------------------------------------------------------------------------------------------ 13,858,696 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (3.8%) ........................................................................................................................ 420,000 Aladdin Gaming Holdings, LLC sr. disc. notes stepped-coupon Ser. B, zero % (13 1/2s, 3/1/03), 2010 (In default) (NON) (STP) 12,600 ........................................................................................................................ 300,000 Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009 320,250 ........................................................................................................................ 570,000 Argosy Gaming Co. company guaranty 10 3/4s, 2009 614,175 ........................................................................................................................ 160,000 Argosy Gaming Co. sr. sub. notes 9s, 2011 164,000 ........................................................................................................................ 620,000 Autotote Corp. company guaranty Ser. B, 12 1/2s, 2010 694,400 ........................................................................................................................ 500,000 Borgata Resorts bank term loan FRN Ser. B, 5.898s, 2007 (acquired 6/5/02, cost $498,750) (RES) 501,250 ........................................................................................................................ 200,000 Boyd Gaming Corp. bank term loan FRN Ser. B, 5.5s, 2008 (acquired 6/5/02, cost $200,000) (RES) 200,500 ........................................................................................................................ 110,000 Boyd Gaming Corp. sr. sub. notes 9 1/2s, 2007 111,238 ........................................................................................................................ 670,000 Boyd Gaming Corp. 144A sr. sub. notes 8 3/4s, 2012 670,000 ........................................................................................................................ 270,000 Chumash Casino & Resort Enterprise 144A sr. notes 9s, 2010 272,700 ........................................................................................................................ 258,062 Fitzgeralds Gaming Corp. company guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 90,644 ........................................................................................................................ 630,000 Harrah's Operating Company, Inc. company guaranty 7 1/2s, 2009 656,158 ........................................................................................................................ 580,000 Herbst Gaming, Inc. sec. notes Ser. B, 10 3/4s, 2008 609,000 ........................................................................................................................ 930,000 Hollywood Casino Corp. company guaranty 11 1/4s, 2007 1,002,075 ........................................................................................................................ 70,000 Hollywood Park, Inc. company guaranty Ser. B, 9 1/4s, 2007 65,800 ........................................................................................................................ 790,000 Horseshoe Gaming Holdings company guaranty 8 5/8s, 2009 801,850 ........................................................................................................................ 630,000 International Game Technology sr. notes 8 3/8s, 2009 663,075 ........................................................................................................................ 1,420,000 International Game Technology sr. notes 7 7/8s, 2004 1,462,600 ........................................................................................................................ 299,250 Isle of Capri Casinos, Inc. bank term loan FRN Ser. B, 4.385s, 2008 (acquired 4/22/02, cost $299,250) (RES) 300,684 ........................................................................................................................ 1,080,000 Majestic Investor Holdings/Majestic Investor Capital Corp. 144A company guaranty 11.653s, 2007 1,026,000 ........................................................................................................................ 70,000 Mandalay Resort Group sr. notes 9 1/2s, 2008 74,900 ........................................................................................................................ 60,000 Mandalay Resort Group sr. sub. notes 9 3/8s, 2010 62,400 ........................................................................................................................ 1,090,000 Mandalay Resort Group sr. sub. notes Ser. B, 10 1/4s, 2007 1,163,575 ........................................................................................................................ 1,680,000 MGM Mirage, Inc. company guaranty 8 1/2s, 2010 1,732,214 ........................................................................................................................ 350,000 Mikohn Gaming Corp. company guaranty Ser. B, 11 7/8s, 2008 322,000 ........................................................................................................................ 440,000 Mirage Resorts, Inc. notes 6 3/4s, 2008 423,337 ........................................................................................................................ 140,000 Mohegan Tribal Gaming Authority sr. notes 8 1/8s, 2006 142,800 ........................................................................................................................ 680,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 703,800 ........................................................................................................................ 250,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/8s, 2011 255,625 ........................................................................................................................ 620,000 Mohegan Tribal Gaming Authority 144A sr. sub. notes 8s, 2012 620,000 ........................................................................................................................ 780,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 760,500 ........................................................................................................................ 830,000 Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 854,900 ........................................................................................................................ 130,000 Penn National Gaming, Inc. company guaranty Ser. B, 11 1/8s, 2008 139,750 ........................................................................................................................ 750,000 Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010 738,750 ........................................................................................................................ 330,000 Resorts International Hotel and Casino, Inc. 144A 1st mtge. 11 1/2s, 2009 302,363 ........................................................................................................................ 640,000 Station Casinos, Inc. sr. notes 8 3/8s, 2008 654,400 ........................................................................................................................ 30,000 Station Casinos, Inc. sr. sub. notes 9 7/8s, 2010 31,725 ........................................................................................................................ 180,000 Station Casinos, Inc. 144A sr. sub. notes 9 3/4s, 2007 185,625 ........................................................................................................................ 360,000 Trump Atlantic City Associates company guaranty 11 1/4s, 2006 272,700 ........................................................................................................................ 40,000 Trump Atlantic City company guaranty Ser. B, 11 1/4s, 2006 30,300 ........................................................................................................................ 180,000 Trump Castle Funding, Inc. sr. sub. notes 11 3/4s, 2003 160,200 ........................................................................................................................ 1,360,000 Venetian Casino Resort, LLC 144A 2nd mtge. 11s, 2010 1,373,600 ........................................................................................................................ 200,000 Venetian Casino, Inc. bank term loan FRN 4.84s, 2008 (acquired 6/3/02, cost $200,000) (RES) 202,417 ........................................................................................................................ 10,000 Venetian Casino, Inc. company guaranty 12 1/4s, 2004 10,613 ........................................................................................................................ 280,000 Wheeling Island Gaming, Inc. company guaranty 10 1/8s, 2009 288,400 ------------------------------------------------------------------------------------------------------------------------ 21,745,893 ------------------------------------------------------------------------------------------------------------------------ Health Care (4.1%) ........................................................................................................................ 520,000 Accredo Health, Inc. bank term loan FRN Ser. B, 4.59s, 2009 (acquired 3/20/02, cost $519,480) (RES) 522,600 ........................................................................................................................ 300,000 Advanced Medical Optics bank term loan FRN Ser. B, 5.11s, 2008 (acquired 6/17/02, cost $299,625) (RES) 302,250 ........................................................................................................................ 720,000 ALARIS Medical Systems, Inc. sec. notes Ser. B, 11 5/8s, 2006 799,200 ........................................................................................................................ 130,000 ALARIS Medical Systems, Inc. 144A company guaranty 9 3/4s, 2006 129,025 ........................................................................................................................ 470,000 ALARIS Medical, Inc. sr. disc. notes stepped-coupon zero % (11 1/8s, 8/1/03), 2008 (STP) 394,800 ........................................................................................................................ 1,389,000 Alderwoods Group, Inc. company guaranty 12 1/4s, 2009 1,395,945 ........................................................................................................................ 14,400 Alderwoods Group, Inc. company guaranty 11s, 2007 14,472 ........................................................................................................................ 400,000 Alliance Imaging, Inc. sr. sub. notes 10 3/8s, 2011 430,500 ........................................................................................................................ 510,000 AmerisourceBergen Corp. sr. notes 8 1/8s, 2008 525,300 ........................................................................................................................ 320,000 Bio-Rad Labs Corp. sr. sub. notes 11 5/8s, 2007 356,800 ........................................................................................................................ 770,000 Biovail Corp. sr. sub. notes 7 7/8s, 2010 (Canada) 749,194 ........................................................................................................................ 414,604 Concentra Operating Corp. bank term loan FRN Ser. B, 5.915s, 2006 (acquired 1/15/02, cost $415,531) (RES) 415,641 ........................................................................................................................ 207,302 Concentra Operating Corp. bank term loan FRN Ser. C, 6.165s, 2007 (acquired 1/15/02, cost $207,754) (RES) 207,769 ........................................................................................................................ 800,000 Conmed Corp. company guaranty 9s, 2008 826,000 ........................................................................................................................ 398,153 DaVita, Inc. bank term loan FRN Ser. B, 5.012s, 2009 (acquired 4/26/02, cost $397,655) (RES) 398,837 ........................................................................................................................ 440,000 Extendicare Health Services, Inc. 144A sr. notes 9 1/2s, 2010 441,100 ........................................................................................................................ 33,800 Genesis Health Ventures, Inc. sec. notes FRN 7.038s, 2007 33,462 ........................................................................................................................ 680,000 Hanger Orthopedic Group, Inc. company guaranty 10 3/8s, 2009 712,300 ........................................................................................................................ 40,000 Hanger Orthopedic Group, Inc. sr. sub. notes 11 1/4s, 2009 40,800 ........................................................................................................................ 280,000 HCA, Inc. deb. 7.19s, 2015 282,895 ........................................................................................................................ 1,880,000 HCA, Inc. notes 8 3/4s, 2010 2,103,694 ........................................................................................................................ 210,000 HCA, Inc. notes 8.36s, 2024 223,152 ........................................................................................................................ 960,000 HCA, Inc. notes 7s, 2007 983,376 ........................................................................................................................ 790,000 Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 857,150 ........................................................................................................................ 400,000 Insight Health Services Corp. company guaranty Ser. B, 9 7/8s, 2011 402,000 ........................................................................................................................ 680,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/2s, 2007 (In default) (NON) 68 ........................................................................................................................ 430,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/4s, 2008 (In default) (NON) 43 ........................................................................................................................ 248,052 Kinetic Concepts, Inc. bank term loan FRN Ser. C, 5.05s, 2005 (acquired 11/15/01, cost $248,362) (RES) 247,432 ........................................................................................................................ 660,000 Kinetic Concepts, Inc. company guaranty Ser. B, 9 5/8s, 2007 656,700 ........................................................................................................................ 1,210,000 Magellan Health Services, Inc. sr. sub. notes 9s, 2008 435,600 ........................................................................................................................ 30,000 Magellan Health Services, Inc. 144A sr. notes 9 3/8s, 2007 23,100 ........................................................................................................................ 1,395,000 Mariner Post-Acute Network, Inc. sr. sub. notes Ser. B, 9 1/2s, 2007 (In default) (NON) 17,438 ........................................................................................................................ 280,000 Mariner Post-Acute Network, Inc. sr. sub. notes stepped-coupon Ser. B, zero % (10 1/2s, 11/1/02), 2007 (In default) (NON) (STP) 2,100 ........................................................................................................................ 760,000 Mediq, Inc. company guaranty 11s, 2008 (In default) (NON) 7,600 ........................................................................................................................ 495,000 Mediq, Inc. deb. stepped-coupon zero % (13s, 6/1/03), 2009 (In default) (NON) (STP) 50 ........................................................................................................................ 1,465,000 Multicare Companies, Inc. sr. sub. notes 9s, 2007 (In default) (NON) 147 ........................................................................................................................ 480,000 Omnicare, Inc. company guaranty Ser. B, 8 1/8s, 2011 496,800 ........................................................................................................................ 1,150,000 PacifiCare Health Systems, Inc. 144A sr. notes 10 3/4s, 2009 1,161,500 ........................................................................................................................ 399,000 Rotech Healthcare, Inc. bank term loan FRN Ser. B, 4.85s, 2008 (acquired various dates 4/3/02 to 4/23/02, cost $402,375) (RES) 402,658 ........................................................................................................................ 570,000 Rotech Healthcare, Inc. 144A sr. sub. notes 9 1/2s, 2012 578,550 ........................................................................................................................ 260,000 Service Corp. International debs. 7 7/8s, 2013 235,625 ........................................................................................................................ 70,000 Service Corp. International notes 7.7s, 2009 65,800 ........................................................................................................................ 1,240,000 Service Corp. International notes 6s, 2005 1,125,300 ........................................................................................................................ 650,000 Stewart Enterprises, Inc. notes 10 3/4s, 2008 721,500 ........................................................................................................................ 1,500,000 Triad Hospitals Holdings company guaranty Ser. B, 11s, 2009 1,665,000 ........................................................................................................................ 991,818 Triad Hospitals, Inc. bank term loan FRN Ser. B, 4.84s, 2008 (acquired 4/24/01, cost $990,826) (RES) 999,753 ........................................................................................................................ 200,000 Triad Hospitals, Inc. company guaranty Ser. B, 8 3/4s, 2009 208,000 ........................................................................................................................ 500,000 Vanguard Health Systems, Inc. company guaranty 9 3/4s, 2011 520,000 ........................................................................................................................ 620,000 Ventas Realty LP/Capital Corp. 144A sr. notes 9s, 2012 632,400 ------------------------------------------------------------------------------------------------------------------------ 23,751,426 ------------------------------------------------------------------------------------------------------------------------ Homebuilding (1.0%) ........................................................................................................................ 490,000 Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 492,450 ........................................................................................................................ 70,000 D.R. Horton, Inc. company guaranty 8s, 2009 69,475 ........................................................................................................................ 560,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 546,000 ........................................................................................................................ 260,000 D.R. Horton, Inc. 144A sr. notes 8 1/2s, 2012 263,900 ........................................................................................................................ 320,000 Del Webb Corp. sr. sub. deb. 9 3/8s, 2009 337,600 ........................................................................................................................ 400,000 K. Hovnanian Enterprises, Inc. company guaranty 10 1/2s, 2007 438,000 ........................................................................................................................ 120,000 K. Hovnanian Enterprises, Inc. 144A sr. notes 8s, 2012 117,000 ........................................................................................................................ 40,000 K. Hovnanian Enterprises, Inc. 144A sr. sub. notes 8 7/8s, 2012 39,400 ........................................................................................................................ 800,000 KB Home sr. sub. notes 9 1/2s, 2011 824,000 ........................................................................................................................ 240,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 264,000 ........................................................................................................................ 440,000 Lennar Corp. sr. notes 7 5/8s, 2009 455,400 ........................................................................................................................ 70,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 71,050 ........................................................................................................................ 580,000 Ryland Group, Inc. sr. notes 9 3/4s, 2010 632,200 ........................................................................................................................ 110,000 Ryland Group, Inc. sr. sub. notes 8 1/4s, 2008 109,450 ........................................................................................................................ 40,000 Schuler Homes, Inc. company guaranty 9s, 2008 40,800 ........................................................................................................................ 210,000 Standard Pacific Corp. sr. notes 9 1/2s, 2010 222,600 ........................................................................................................................ 90,000 Standard Pacific Corp. sr. notes 8 1/2s, 2009 90,450 ........................................................................................................................ 400,000 Toll Corp. company guaranty 8 1/8s, 2009 400,000 ........................................................................................................................ 140,000 Toll Corp. sr. sub. notes 8 1/4s, 2011 140,000 ........................................................................................................................ 390,000 WCI Communities, Inc. company guaranty 9 1/8s, 2012 386,100 ------------------------------------------------------------------------------------------------------------------------ 5,939,875 ------------------------------------------------------------------------------------------------------------------------ Household Furniture and Appliances (0.3%) ........................................................................................................................ 249,084 Sealy Mattress Co. bank term loan FRN Ser. B, 3.938s, 2004 (acquired 12/17/01, cost $249,862) (RES) 248,876 ........................................................................................................................ 249,153 Sealy Mattress Co. bank term loan FRN Ser. C, 4.188s, 2005 (acquired 12/17/01, cost $249,931) (RES) 248,945 ........................................................................................................................ 249,171 Sealy Mattress Co. bank term loan FRN Ser. D, 4.438s, 2005 (acquired 12/17/01, cost $249,950) (RES) 248,964 ........................................................................................................................ 790,000 Sealy Mattress Co. company guaranty stepped-coupon Ser. B, zero % (10 7/8s, 12/15/02), 2007 (STP) 776,175 ........................................................................................................................ 430,000 Sealy Mattress Co. sr. sub. notes Ser. B, 9 7/8s, 2007 434,300 ------------------------------------------------------------------------------------------------------------------------ 1,957,260 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (1.4%) ........................................................................................................................ 1,150,000 Felcor Lodging LP company guaranty 9 1/2s, 2008 (R) 1,155,750 ........................................................................................................................ 433,000 Felcor Lodging LP company guaranty 8 1/2s, 2008 (R) 422,175 ........................................................................................................................ 3,400,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 3,247,000 ........................................................................................................................ 580,000 ITT Corp. notes 6 3/4s, 2005 570,395 ........................................................................................................................ 960,000 John Q. Hamons Hotels 144A 1st mtge. 8 7/8s, 2012 945,600 ........................................................................................................................ 320,000 Lodgian Financing Corp. company guaranty 12 1/4s, 2009 (In default) (NON) 176,000 ........................................................................................................................ 280,000 Meristar Hospitality Corp. company guaranty 9 1/8s, 2011 271,600 ........................................................................................................................ 170,000 Meristar Hospitality Corp. company guaranty 9s, 2008 164,900 ........................................................................................................................ 260,000 MeriStar Hospitality Operating Partnership/MeriStar Hospitality Finance Corp. 144A sr. notes 10 1/2s, 2009 (R) 263,900 ........................................................................................................................ 460,000 RFS Partnership LP company guaranty 9 3/4s, 2012 462,300 ........................................................................................................................ 430,000 Starwood Hotels & Resorts Worldwide, Inc. 144A notes 7 7/8s, 2012 425,081 ........................................................................................................................ 170,000 Travel Centers of America, Inc. company guaranty 12 3/4s, 2009 181,900 ------------------------------------------------------------------------------------------------------------------------ 8,286,601 ------------------------------------------------------------------------------------------------------------------------ Publishing (1.4%) ........................................................................................................................ 270,000 Belo Corp. sr. notes 7 1/8s, 2007 270,815 ........................................................................................................................ 380,000 Garden State Newspapers, Inc. sr. sub. notes 8 5/8s, 2011 380,000 ........................................................................................................................ 280,000 Garden State Newspapers, Inc. sr. sub. notes Ser. B, 8 3/4s, 2009 280,000 ........................................................................................................................ 320,000 Hollinger International Publishing, Inc. company guaranty 9 1/4s, 2007 328,800 ........................................................................................................................ 1,520,085 Hollinger Participation Trust 144A sr. notes 12 1/8s, 2010 (Canada) (PIK) 1,428,880 ........................................................................................................................ 480,000 Key3media Group, Inc. company guaranty 11 1/4s, 2011 216,000 ........................................................................................................................ 440,000 Mail-Well I Corp. 144A company guaranty 9 5/8s, 2012 444,400 ........................................................................................................................ 570,000 Perry-Judd company guaranty 10 5/8s, 2007 552,900 ........................................................................................................................ 1,190,000 PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 880,600 ........................................................................................................................ 320,000 PRIMEDIA, Inc. company guaranty 7 5/8s, 2008 230,400 ........................................................................................................................ 680,000 PRIMEDIA, Inc. company guaranty Ser. B, 8 1/2s, 2006 516,800 ........................................................................................................................ 340,000 Quebecor Media, Inc. sr. disc. notes stepped-coupon zero % (13 3/4s, 7/15/06), 2011 (Canada) (STP) 197,200 ........................................................................................................................ 390,000 Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada) 386,100 ........................................................................................................................ 400,000 Reader's Digest Association, Inc. (The) bank term loan FRN Ser. B, 4.309s, 2008 (acquired 5/15/02, cost $400,000) (RES) 401,667 ........................................................................................................................ 620,000 Vertis, Inc. 144A sr. notes 10 7/8s, 2009 620,775 ........................................................................................................................ 650,000 Von Hoffman Press, Inc. 144A company guaranty 10 1/4s, 2009 666,250 ........................................................................................................................ 189,817 Von Hoffman Press, Inc. 144A sr. sub. notes 13 1/2s, 2009 161,344 ........................................................................................................................ 160,000 Von Hoffman Press, Inc. 144A sr. sub. notes 10 3/8s, 2007 152,400 ------------------------------------------------------------------------------------------------------------------------ 8,115,331 ------------------------------------------------------------------------------------------------------------------------ Retail (0.8%) ........................................................................................................................ 440,000 Amazon.com, Inc. sr. sub. notes stepped-coupon zero % (10s, 5/1/03), 2008 (STP) 400,400 ........................................................................................................................ 790,000 Autonation, Inc. company guaranty 9s, 2008 809,750 ........................................................................................................................ 130,000 JC Penney Company, Inc. debs. 7.95s, 2017 117,650 ........................................................................................................................ 400,000 JC Penney Company, Inc. debs. 7.4s, 2037 386,000 ........................................................................................................................ 220,000 JC Penney Company, Inc. notes 7.6s, 2007 215,600 ........................................................................................................................ 220,000 JC Penney Company, Inc. notes 7 3/8s, 2008 214,500 ........................................................................................................................ 280,000 JC Penney Company, Inc. notes Ser. MTNA, 7.05s, 2005 273,000 ........................................................................................................................ 250,000 K mart Corp. debs. 7 3/4s, 2012 (In default) (NON) 100,000 ........................................................................................................................ 480,000 K mart Corp. 144A notes 9 7/8s, 2008 (In default) (NON) 192,000 ........................................................................................................................ 60,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 60,000 ........................................................................................................................ 350,000 NBTY, Inc. sr. sub. notes Ser. B, 8 5/8s, 2007 348,250 ........................................................................................................................ 1,420,000 Saks, Inc. company guaranty 8 1/4s, 2008 1,341,900 ........................................................................................................................ 381,176 Shoppers Drug Mart bank term loan FRN Ser. F, 3.917s, 2009 (acquired various dates 5/22/02 to 5/29/02, cost $382,426) (RES) 382,606 ------------------------------------------------------------------------------------------------------------------------ 4,841,656 ------------------------------------------------------------------------------------------------------------------------ Technology (1.6%) ........................................................................................................................ 342,000 CSG Systems International, Inc. bank term loan FRN Ser. B, 5.129s, 2008 (acquired 3/4/02, cost $342,855) (RES) 332,595 ........................................................................................................................ 650,000 Intira Corp. bonds stepped-coupon zero % (13s, 2/1/05), 2010 (acquired 1/31/00, cost $346,392) (In default) (NON) (RES) (STP) 65 ........................................................................................................................ 160,000 Iron Mountain, Inc. company guaranty 8 5/8s, 2013 161,600 ........................................................................................................................ 240,000 Iron Mountain, Inc. company guaranty 8 1/8s, 2008 (Canada) 240,600 ........................................................................................................................ 1,240,000 Iron Mountain, Inc. sr. sub. notes 8 1/4s, 2011 1,240,000 ........................................................................................................................ 60,000 Lucent Technologies, Inc. deb. 6 1/2s, 2028 30,600 ........................................................................................................................ 2,170,000 Lucent Technologies, Inc. deb. 6.45s, 2029 1,106,700 ........................................................................................................................ 1,000,000 Micron Technology, Inc. notes 6 1/2s, 2005 900,000 ........................................................................................................................ 940,000 Nortel Networks Corp. notes 6 1/8s, 2006 (Canada) 582,800 ........................................................................................................................ 500,000 ON Semiconductor Corp. 144A company guaranty 12s, 2008 435,000 ........................................................................................................................ 380,000 Polaroid Corp. sr. notes 11 1/2s, 2006 (In default) (NON) 4,750 ........................................................................................................................ 240,000 SCG Holding & Semiconductor Corp. company guaranty 12s, 2009 157,200 ........................................................................................................................ 150,000 Seagate Technology Hdd Holdings bank term loan FRN Ser. B, 3.938s, 2007 (acquired 5/9/02, cost $150,000) (RES) 150,300 ........................................................................................................................ 560,000 Seagate Technology Hdd Holdings 144A sr. notes 8s, 2009 560,000 ........................................................................................................................ 1,080,000 Sequa Corp. sr. notes 9s, 2009 1,080,000 ........................................................................................................................ 160,000 Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008 159,200 ........................................................................................................................ 490,000 Telecommunications Techniques, Inc. company guaranty 9 3/4s, 2008 98,000 ........................................................................................................................ 134,346 Telex Communications Group, Inc. sr. sub. notes zero %, 2006 (In default) (NON) 73,890 ........................................................................................................................ 600,000 Titan Corp. (The) bank term loan FRN Ser. B, 4.84s, 2009 (acquired 5/14/02 to 6/3/02, cost $600,750) (RES) 602,794 ........................................................................................................................ 280,000 Unisys Corp. sr. notes 7 7/8s, 2008 274,400 ........................................................................................................................ 160,000 Unisys Corp. sr. notes 7 1/4s, 2005 156,000 ........................................................................................................................ 80,000 Xerox Corp. notes 5 1/2s, 2003 68,800 ........................................................................................................................ 880,000 Xerox Corp. 144A sr. notes 9 3/4s, 2009 730,400 ........................................................................................................................ 40,000 Xerox Credit Corp. sr. notes 6.1s, 2003 34,400 ------------------------------------------------------------------------------------------------------------------------ 9,180,094 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.4%) ........................................................................................................................ 490,000 Galey & Lord, Inc. company guaranty 9 1/8s, 2008 (In default) (NON) 83,300 ........................................................................................................................ 620,000 Levi Strauss & Co. sr. notes 11 5/8s, 2008 589,000 ........................................................................................................................ 380,000 Russell Corp. 144A sr. notes 9 1/4s, 2010 390,450 ........................................................................................................................ 520,000 The William Carter Holdings Co. company guaranty Ser. B, 10 7/8s, 2011 566,800 ........................................................................................................................ 200,000 Tommy Hilfiger USA, Inc. company guaranty 6 1/2s, 2003 200,000 ........................................................................................................................ 1,050,000 Westpoint Stevens, Inc. sr. notes 7 7/8s, 2005 703,500 ------------------------------------------------------------------------------------------------------------------------ 2,533,050 ------------------------------------------------------------------------------------------------------------------------ Transportation (1.3%) ........................................................................................................................ 60,000 Air Canada Corp. sr. notes 10 1/4s, 2011 (Canada) 45,000 ........................................................................................................................ 860,000 Airbus Industries 144A notes Ser. D, 12.266s, 2020 663,473 ........................................................................................................................ 880,000 Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 739,200 ........................................................................................................................ 280,000 Continental Airlines, Inc. pass-through certificates Ser. D, 7.568s, 2006 240,800 ........................................................................................................................ 350,000 Delta Air Lines, Inc. pass-through certificates Ser. 00-1, Class C, 7.779s, 2005 355,338 ........................................................................................................................ 250,000 Delta Air Lines, Inc. pass-through certificates Ser. C, 7.779s, 2012 254,915 ........................................................................................................................ 200,000 Ingram Industries bank term loan FRN Ser. B, 4.53s, 2008 (acquired 6/17/02, cost $200,000) (RES) 200,500 ........................................................................................................................ 630,000 Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 680,400 ........................................................................................................................ 320,000 Kansas City Southern Railway Co. 144A sr. notes 7 1/2s, 2009 320,000 ........................................................................................................................ 410,000 Navistar International Corp. company guaranty Ser. B, 9 3/8s, 2006 428,450 ........................................................................................................................ 580,000 Navistar International Corp. sr. notes Ser. B, 8s, 2008 568,400 ........................................................................................................................ 90,000 Northwest Airlines, Inc. company guaranty 8.52s, 2004 81,000 ........................................................................................................................ 500,000 Northwest Airlines, Inc. company guaranty 7 5/8s, 2005 445,000 ........................................................................................................................ 550,000 Northwest Airlines, Inc. sr. notes 9 7/8s, 2007 489,500 ........................................................................................................................ 313,846 NWA Trust sr. notes Ser. A, 9 1/4s, 2012 313,846 ........................................................................................................................ 700,000 RailAmerica Transportation company guaranty 12 7/8s, 2010 770,000 ........................................................................................................................ 130,000 Transportation Manufacturing Operations, Inc. company guaranty 11 1/4s, 2009 100,100 ........................................................................................................................ 1,120,000 US Air, Inc. pass-through certificates Ser. 93A2, 9 5/8s, 2003 772,800 ........................................................................................................................ 170,000 US Air, Inc. pass-through certificates Ser. 93A3, 10 3/8s, 2013 102,000 ------------------------------------------------------------------------------------------------------------------------ 7,570,722 ------------------------------------------------------------------------------------------------------------------------ Utilities & Power (2.1%) ........................................................................................................................ 450,000 AES Corp. (The) notes 8 3/4s, 2008 283,500 ........................................................................................................................ 930,000 AES Corp. (The) sr. notes 9 3/8s, 2010 604,500 ........................................................................................................................ 730,000 Calpine Canada Energy Finance company guaranty 8 1/2s, 2008 (Canada) 489,100 ........................................................................................................................ 310,000 Calpine Corp. sr. notes 10 1/2s, 2006 248,000 ........................................................................................................................ 30,000 Calpine Corp. sr. notes 8 3/4s, 2007 20,400 ........................................................................................................................ 1,290,000 Calpine Corp. sr. notes 8 5/8s, 2010 832,050 ........................................................................................................................ 640,000 Calpine Corp. sr. notes 8 1/2s, 2011 419,200 ........................................................................................................................ 670,000 Calpine Corp. sr. notes 7 7/8s, 2008 425,450 ........................................................................................................................ 710,000 CMS Energy Corp. pass-through certificates 7s, 2005 511,200 ........................................................................................................................ 210,000 CMS Energy Corp. sr. notes 8.9s, 2008 163,800 ........................................................................................................................ 280,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 198,800 ........................................................................................................................ 380,000 CMS Energy Corp. sr. notes 7 5/8s, 2004 285,000 ........................................................................................................................ 330,000 Edison Mission Energy sr. notes 10s, 2008 325,050 ........................................................................................................................ 1,825,000 Midland Funding II debs. Ser. A, 11 3/4s, 2005 1,660,750 ........................................................................................................................ 970,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 999,100 ........................................................................................................................ 320,000 Pacific Gas & Electric Co. 144A sr. notes 7 3/8s, 2005 (In default) (NON) 318,400 ........................................................................................................................ 840,000 Southern California Edison Co. notes 8.95s, 2003 831,600 ........................................................................................................................ 80,000 Southern California Edison Co. notes 6 3/8s, 2006 75,200 ........................................................................................................................ 780,000 Tiverton/Rumford Power Associates, LP 144A pass-through certificates 9s, 2018 530,400 ........................................................................................................................ 500,000 Western Resources, Inc. bank term loan FRN 4 7/8s, 2005 (acquired 6/4/02, cost $500,000) (RES) 501,875 ........................................................................................................................ 610,000 Western Resources, Inc. 144A 1st mtge. 7 7/8s, 2007 616,860 ........................................................................................................................ 630,000 Western Resources, Inc. 144A sr. notes 9 3/4s, 2007 615,879 ........................................................................................................................ 982,000 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 903,440 ------------------------------------------------------------------------------------------------------------------------ 11,859,554 ------------------------------------------------------------------------------------------------------------------------ Total Corporate Bonds and Notes (cost $336,509,559) $282,708,339 ------------------------------------------------------------------------------------------------------------------------ FOREIGN GOVERNMENT BONDS AND NOTES (15.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $1,593,947 Argentina (Republic of) bonds Ser. 2018, 2.89s, 2018 (In default) (NON) $255,031 ........................................................................................................................ 1,805,000 Brazil (Federal Republic of) bonds 10 1/8s, 2027 956,650 ........................................................................................................................ 1,260,000 Brazil (Federal Republic of) notes 14 1/2s, 2009 934,290 ........................................................................................................................ 1,035,000 Brazil (Federal Republic of) notes 11s, 2012 626,175 ........................................................................................................................ 815,000 Brazil (Federal Republic of) unsub. notes 11s, 2040 454,363 ........................................................................................................................ 3,953,000 Bulgaria (Republic of) 144A bonds 8 1/4s, 2015 3,919,400 ........................................................................................................................ CAD 1,800,000 Canada (Government of) bonds 5 1/2s, 2010 1,194,477 ........................................................................................................................ CAD 585,000 Canada (Government of) bonds Ser. WL43, 5 3/4s, 2029 381,396 ........................................................................................................................ $1,380,000 Colombia (Republic of) bonds 11 3/4s, 2020 1,342,050 ........................................................................................................................ EUR 310,000 Colombia (Republic of) notes Ser. EMTN, 11 1/2s, 2011 295,993 ........................................................................................................................ EUR 310,000 Colombia (Republic of) unsub. bonds Ser. 15A, 11 3/8s, 2008 294,462 ........................................................................................................................ $425,000 Ecuador (Republic of) bonds Ser. REGS, 12s, 2012 299,625 ........................................................................................................................ 1,305,000 Ecuador (Republic of) bonds stepped-coupon Ser. REGS, 5s (6s, 8/15/02), 2030 (STP) 652,500 ........................................................................................................................ EUR 3,025,000 France (Government of) bonds 5 1/2s, 2010 3,094,413 ........................................................................................................................ EUR 920,000 France (Government of) deb. 4s, 2009 860,262 ........................................................................................................................ EUR 1,510,000 Germany (Federal Republic of) bonds Ser. 00, 5 1/2s, 2031 1,537,194 ........................................................................................................................ EUR 1,270,000 Germany (Federal Republic of) bonds Ser. 94, 6 1/4s, 2024 1,398,208 ........................................................................................................................ EUR 5,715,000 Germany (Federal Republic of) bonds Ser. 97, 6s, 2007 6,009,785 ........................................................................................................................ EUR 3,440,000 Germany (Federal Republic of) bonds Ser. 99, 4s, 2009 3,238,712 ........................................................................................................................ EUR 1,270,000 Italy (Government of) treasury bonds 4 3/4s, 2006 1,268,043 ........................................................................................................................ EUR 2,350,000 Italy (Government of) treasury bonds 3 1/4s, 2004 2,298,810 ........................................................................................................................ $325,000 Malaysia (Government of) bonds 7 1/2s, 2011 344,825 ........................................................................................................................ NZD 5,362,000 New Zealand (Government of) bonds 8s, 2006 2,752,538 ........................................................................................................................ NZD 1,660,000 New Zealand (Government of) bonds Ser. 709, 7s, 2009 821,943 ........................................................................................................................ $499,950 Peru (Republic of) bonds Ser. PDI, 4s, 2017 359,964 ........................................................................................................................ 1,670,000 Russia (Federation of) bonds 12 3/4s, 2028 2,006,505 ........................................................................................................................ 3,100,000 Russia (Federation of) unsub. 10s, 2007 3,298,400 ........................................................................................................................ 1,955,000 Russia (Federation of) unsub. 8 1/4s, 2010 1,930,563 ........................................................................................................................ 4,555,000 Russia (Federation of) unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030 (STP) 3,154,338 ........................................................................................................................ 7,390,625 Russia (Federation of) 144A unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030 (STP) 5,118,008 ........................................................................................................................ 1,245,000 South Africa (Republic of) notes 7 3/8s, 2012 1,232,550 ........................................................................................................................ EUR 450,000 Spain (Government of) bonds 5 3/4s, 2032 464,769 ........................................................................................................................ EUR 1,500,000 Spain (Government of) bonds 4.8s, 2006 1,498,133 ........................................................................................................................ SEK 51,150,000 Sweden (Government of) bonds Ser. 1037, 8s, 2007 6,256,857 ........................................................................................................................ SEK 75,400,000 Sweden (Government of) bonds Ser. 1044, 3 1/2s, 2006 7,763,153 ........................................................................................................................ $960,000 Turkey (Republic of) bonds 11 3/4s, 2010 865,440 ........................................................................................................................ 460,000 Turkey (Republic of) notes 11 1/2s, 2012 401,350 ........................................................................................................................ 325,000 Turkey (Republic of) sr. unsub. 11 7/8s, 2030 276,250 ........................................................................................................................ GBP 2,510,000 United Kingdom Treasury bonds 10s, 2003 4,068,143 ........................................................................................................................ GBP 980,000 United Kingdom Treasury bonds 5s, 2012 1,492,773 ........................................................................................................................ GBP 1,340,000 United Kingdom Treasury bonds Ser. 85, 9 3/4s, 2002 2,060,539 ........................................................................................................................ GBP 2,165,000 United Kingdom Treasury bonds 8 1/2s, 2005 3,660,751 ........................................................................................................................ $2,480,000 United Mexican States bonds 11 3/8s, 2016 3,056,600 ........................................................................................................................ 1,860,000 United Mexican States bonds Ser. MTN, 8.3s, 2031 1,806,990 ........................................................................................................................ 715,000 United Mexican States notes 8 1/8s, 2019 695,338 ........................................................................................................................ 3,515,000 United Mexican States notes Ser. A, 9 7/8s, 2010 3,928,013 ........................................................................................................................ 740,000 Venezuela (Republic of) bonds 9 1/4s, 2027 473,600 ------------------------------------------------------------------------------------------------------------------------ Total Foreign Government Bonds and Notes (cost $84,725,973) $91,100,172 ------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT AND AGENCY OBLIGATIONS (12.2%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ U.S. Government Agency Mortgage Obligations (2.7%) ........................................................................................................................ Federal National Mortgage Association Pass-Through Certificates ........................................................................................................................ $418,909 7 1/2s, September 1, 2022 $440,114 ........................................................................................................................ 108,993 6 1/2s, March 1, 2032 111,283 ........................................................................................................................ 983,913 6 1/2s, with due dates from August 1, 2010 to February 1, 2015 1,021,784 ........................................................................................................................ 10,633,000 TBA, 6 1/2s, July 1, 2032 10,839,068 ........................................................................................................................ 155,000 TBA, 6s, July 1, 2032 154,613 ........................................................................................................................ Government National Mortgage Association Pass-Through Certificates ........................................................................................................................ 450,554 8s, with due dates from January 15, 2022 to September 15, 2025 485,822 ........................................................................................................................ 279,056 7s, December 15, 2028 290,927 ........................................................................................................................ 2,427,636 6 1/2s, with due dates from February 15, 2027 to August 15, 2029 2,491,601 ------------------------------------------------------------------------------------------------------------------------ 15,835,212 ------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Obligations (9.5%) ........................................................................................................................ U.S. Treasury Bonds ........................................................................................................................ 16,275,000 7 1/2s, November 15, 2016 19,585,986 ........................................................................................................................ 8,785,000 6 1/4s, May 15, 2030 (SEG) 9,516,263 ........................................................................................................................ 10,870,000 6 1/4s, August 15, 2023 11,646,335 ........................................................................................................................ 3,310,000 5 3/8s, February 15, 2031 3,241,185 ........................................................................................................................ 10,468,000 U.S. Treasury Notes 4 3/8s, May 15, 2007 10,611,935 ------------------------------------------------------------------------------------------------------------------------ 54,601,704 ------------------------------------------------------------------------------------------------------------------------ Total U.S. Government and Agency Obligations (cost $69,883,665) $70,436,916 ------------------------------------------------------------------------------------------------------------------------ COLLATERALIZED MORTGAGE OBLIGATIONS (9.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Amortizing Residential Collateral Trust ........................................................................................................................ $31,480,000 Ser. 02-BC1, Class A, Interest Only (IO), 6s, 2005 $2,308,123 ........................................................................................................................ 2,020,000 Ser. 02-BC1, Class M2, FRN, 2.94s, 2032 1,995,553 ........................................................................................................................ 3,540,000 Amresco Commercial Mortgage Funding I Ser. 97-C1, Class F, 7.64s, 2029 3,777,291 ........................................................................................................................ 4,991,259 Bank of America Mortgage Securities Ser. 01-10, Class 1A11, IO, 6.71s, 2031 321,312 ........................................................................................................................ 490,000 Chase Commercial Mortgage Securities Corp. Ser. 00-3, Class G, 6.887s, 2019 415,811 ........................................................................................................................ 6,932,928 Citicorp Mortgage Securities, Inc. Ser. 01-15, Class A3A, IO, 5.56s, 2031 383,207 ........................................................................................................................ 1,415,000 Commercial Mortgage Acceptance Corp. Ser. 97-ML1, Class D, 7.052s, 2010 1,414,060 ........................................................................................................................ 250,000 Commercial Mortgage Acceptance Corp. 144A Ser. 98-C2, Class F, 5.44s, 2013 186,406 ........................................................................................................................ 23,845,828 Commercial Mortgage Asset Trust Ser. 99-C1, Class X, IO, 1.161s, 2020 1,374,861 ........................................................................................................................ 380,000 CS First Boston Mortgage Securities Corp. 144A Ser. 02-CKN2, Class H, 6.122s, 2037 300,659 ........................................................................................................................ 25,971,808 Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class X, IO, 1.22s, 2023 1,018,582 ........................................................................................................................ Euro Loan Conduit 144A ........................................................................................................................ 450,000 FRN Ser. 7A, Class E, 8.493s, 2006 (United Kingdom) 655,556 ........................................................................................................................ 450,000 FRN Ser. 7A, Class D, 6.743s, 2006 (United Kingdom) 681,685 ........................................................................................................................ Fannie Mae ........................................................................................................................ 519,984 Ser. 98-51, Class SG, IO, 18.28s, 2022 219,044 ........................................................................................................................ 4,901,889 Ser. 02-36, Class SJ, 15 1/2s, 2031 5,238,404 ........................................................................................................................ 12,765 Ser. 98-63, Class S, 14.664s, 2026 12,865 ........................................................................................................................ 3,727 Ser. 92-15, Class L, IO, 10.376s, 2022 93,252 ........................................................................................................................ 862,734 Ser. 98-1, Class SA, IO, 9.23s, 2024 200,586 ........................................................................................................................ 668,144 Ser. 01-55, Class CZ, 6 1/2s, 2031 665,325 ........................................................................................................................ 822,400 Ser. 01-58, Class HI, IO, 6 1/2s, 2026 170,134 ........................................................................................................................ 3,126,100 Ser. 01-62, Class PI, IO, 6 1/2s, 2025 419,093 ........................................................................................................................ 126,055 Ser. 319, Class 2, IO, 6 1/2s, 2032 30,627 ........................................................................................................................ 10,620,679 Ser. 02-36, Class QH, IO, 6.2s, 2031 828,831 ........................................................................................................................ 2,619,259 Ser. 02-29, Class SL, IO, 6.15s, 2029 238,598 ........................................................................................................................ 2,942,800 Ser. 01-70, Class PI, IO, 6s, 2021 369,092 ........................................................................................................................ 2,062,500 Ser. 01-72, Class NI, IO, 6s, 2021 252,324 ........................................................................................................................ 2,069,500 Ser. 01-74, Class QI, IO, 6s, 2018 207,978 ........................................................................................................................ 1,540,511 Ser. 01-74, Class MI, IO, 6s, 2015 258,577 ........................................................................................................................ 5,870,053 Ser. 318, Class 2, IO, 6s, 2032 1,634,443 ........................................................................................................................ 17,552,909 Ser. 00-T6, IO 0.744s, 2030 383,970 ........................................................................................................................ 876,516 Ser. 01-41, Class KO, PO, zero %, 2031 809,682 ........................................................................................................................ 26,078 Ser. 01-30, Class DO, PO, zero %, 2031 23,601 ........................................................................................................................ 544,367 Ser. 99-51, Class N, PO, zero %, 2029 456,587 ........................................................................................................................ 555,408 Ser. 99-52, Class MO, PO, zero %, 2026 517,224 ........................................................................................................................ 258,241 Ser. 97-92, PO, zero %, 2025 253,359 ........................................................................................................................ 673,165 Ser. 96-5, Class PB, PO, zero %, 2024 535,377 ........................................................................................................................ 151,147 Ser. 99-4, Class M, PO, zero %, 2023 142,597 ........................................................................................................................ 639,021 Ser. 93-159, Class D, PO, zero %, 2023 543,667 ........................................................................................................................ 357,904 Federal Home Loan Mortgage Corp. Ser. 57, Class A, PO, zero %, 2023 328,657 ........................................................................................................................ 15,703,386 FFCA Secured Lending Corp. Ser. 00-1, Class X, IO, 1.728s, 2020 1,327,427 ........................................................................................................................ Freddie Mac ........................................................................................................................ 407,222 Ser. 2154, Class SA, 24.83s, 2029 426,820 ........................................................................................................................ 233,749 Ser. 2319, Class S, 21.91s, 2031 246,167 ........................................................................................................................ 816,559 Ser. 2360, Class SC, 16.276s, 2031 835,442 ........................................................................................................................ 2,463,689 Ser. 209, IO, 7 1/2s, 2030 396,115 ........................................................................................................................ 672,723 Ser. 1717, Class L, 6 1/2s, 2024 699,841 ........................................................................................................................ 10,770,675 Ser. 2408, Class SM, IO, 6.26s, 2032 979,458 ........................................................................................................................ 4,255,386 Ser. 2448, Class SE, IO, 6 1/4s, 2029 375,006 ........................................................................................................................ 8,443,779 Ser. 212, IO, 6s, 2031 2,056,385 ........................................................................................................................ 1,457,774 Ser. 2389, Class EI, IO, 6s, 2021 179,488 ........................................................................................................................ 873,840 Ser. 2044, Class SG, IO, 3 1/4s, 2023 54,069 ........................................................................................................................ 2,007,203 Ser. 215, PO, zero %, 2031 1,798,956 ........................................................................................................................ 99,846 Ser. 2078, Class KC, PO, zero %, 2023 94,027 ........................................................................................................................ 20,204 Ser. 2312, PO, zero %, 2031 18,284 ........................................................................................................................ 75,405 Ser. 2317, PO, zero %, 2031 81,343 ........................................................................................................................ 94,460 Ser. 2331, PO, zero %, 2031 85,486 ........................................................................................................................ 218,863 Ser. 2337, PO, zero %, 2031 205,115 ........................................................................................................................ 498,006 Ser. 2351, Class EO, PO, zero %, 2031 462,834 ........................................................................................................................ 925,000 GE Capital Mortgage Services, Inc. Ser. 98-11, Class 2A4, 6 3/4s, 2028 953,324 ........................................................................................................................ Government National Mortgage Association ........................................................................................................................ 5,816,013 Ser. 01-43, Class SJ, IO, 5.07s, 2029 463,464 ........................................................................................................................ 3,225,265 Ser. 99-31, Class MP, PO, zero %, 2029 2,855,359 ........................................................................................................................ 656,374 Ser. 98-2, Class EA, PO, zero %, 2028 554,636 ........................................................................................................................ 955,000 Granite Mortgages PLC FRN Ser. 01-1, Class 1C, 3.349s, 2041 (United Kingdom) 954,397 ........................................................................................................................ 4,410,000 Holmes Financing PLC FRB Ser. 1, Class 2C, 3.13s, 2040 4,410,000 ........................................................................................................................ 480,000 LB-UBS Commercial Mortgage Trust Ser. 01-C3, Class A2, 6.37s, 2011 503,475 ........................................................................................................................ Merrill Lynch Mortgage Investors, Inc. ........................................................................................................................ 915,000 Ser. 96-C2, Class E, 6.96s, 2028 904,635 ........................................................................................................................ 10,892,290 Ser. 96-C2, IO, 1.775s, 2028 667,153 ........................................................................................................................ 4,579,492 Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 8.05s, 2012 234,699 ........................................................................................................................ 31,127 Prudential Home Mortgage Securities Ser. 93-57, Class A4, 5.9s, 2023 31,526 ........................................................................................................................ 14,310,994 Residential Funding Mortgage Securities, Inc. Ser. 01-S26, Class A9, IO, 5.56s, 2031 813,938 ........................................................................................................................ 352,414 Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026 364,131 ------------------------------------------------------------------------------------------------------------------------ Total Collateralized Mortgage Obligations (cost $52,554,389) $53,700,000 ------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES (4.7%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $607,018 Arc Net Interest Margin Trust 144A Ser. 02-1A, Class A, 7 3/4s, 2032 $605,937 ........................................................................................................................ 527,279 Asset Backed Funding Corp. NIM Trust Ser. 02-WF1, 9.32s, 2032 522,088 ........................................................................................................................ 1,636,000 Bank One Issuance Trust Ser. 02-C1, Class C1, FRN, 2.801s, 2007 1,636,000 ........................................................................................................................ Bayview Financial Acquisition Trust ........................................................................................................................ 900,000 Ser. 02-CA, Class A, IO, 14s, 2004 143,297 ........................................................................................................................ 978,890 Ser. 01-DA, Class M3, FRN, 2.91s, 2031 978,890 ........................................................................................................................ 1,116,000 CDC Mortgage Capital Trust Ser. 02-HE1, Class M, FRN, 3.09s, 2033 1,113,210 ........................................................................................................................ Chase Funding Net Interest Margin ........................................................................................................................ 510,000 Ser. 02-1, Class Note, 8 1/2s, 2035 505,716 ........................................................................................................................ 420,000 Ser. 02-C1, Class Note, 8 1/2s, 2035 427,896 ........................................................................................................................ Conseco Finance Securitizations Corp. ........................................................................................................................ 2,713,000 Ser. 00-4, Class A6, 8.31s, 2032 2,942,946 ........................................................................................................................ 960,000 Ser. 00-6, Class M2, 8.2s, 2032 983,873 ........................................................................................................................ 912,000 Ser. 01-4, Class B1, 9.4s, 2010 859,078 ........................................................................................................................ 3,369,090 Ser. 02-1, Class A, 6.681s, 2033 3,459,112 ........................................................................................................................ 697,000 Consumer Credit Reference IDX Securities Ser. 02-1A, Class A, FRB, 3.87s, 2007 698,525 ........................................................................................................................ 247,512 Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 217,965 ........................................................................................................................ 2,282,010 Greenpoint Manufactured Housing Ser. 00-3, Class IA, 8.45s, 2031 2,436,384 ........................................................................................................................ 1,135,000 LNR CDO, Ltd. Ser. 02-1A, Class FFL, 4.589s, 2037 1,066,905 ........................................................................................................................ 925,076 Madison Avenue Manufactured Housing Contract Ser. 02-A, Class B1, FRN, 5.09s, 2032 693,807 ........................................................................................................................ 547,059 Mid-State Trust Ser. 10, Class B, 7.54s, 2026 543,811 ........................................................................................................................ Morgan Stanley Dean Witter Capital I ........................................................................................................................ 1,473,000 Ser. 01-NC4, Class B1, FRN, 4.34s, 2032 1,476,222 ........................................................................................................................ 350,000 Ser. 01-NC3, Class B1, 4.29s, 2031 350,766 ........................................................................................................................ 560,000 Ser. 02-AM2, Class B1, FRN, 4.09s, 2032 556,238 ........................................................................................................................ Morgan Stanley Dean Witter Capital I 144A ........................................................................................................................ 418,479 Ser. 01-AM1N, Class Note, 12 3/4s, 2032 418,479 ........................................................................................................................ 877,555 Ser. 01-NC4N, Class Note, 8 1/2s, 2032 881,680 ........................................................................................................................ 1,010,122 Option One Mortgage Securities Corp. Ser. 02-2A, Class CFTS, 8.83s, 2032 1,026,536 ........................................................................................................................ 871,836 Option One Mortgage Securities Corp. 144A Ser. 02-1, Class CTFS, 6 3/4s, 2032 866,759 ........................................................................................................................ 1,655,000 Pass-Through Amortizing Credit Card Trust Ser. 02-1A, Class A4FL, 7.339s, 2012 1,655,000 ........................................................................................................................ 351,000 TIAA Commercial Real Estate Securitization Ser. 02-1A, Class IV, 6.84s, 2037 269,557 ------------------------------------------------------------------------------------------------------------------------ Total Asset-Backed Securities (cost $26,875,015) $27,336,677 ------------------------------------------------------------------------------------------------------------------------ PREFERRED STOCKS (1.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 16,131 AmeriKing, Inc. $3.25 cum. pfd. (PIK) $161 ........................................................................................................................ 46,000 California Federal Bancorp, Inc. Ser. A, $2.281 pfd. 1,201,060 ........................................................................................................................ 22,613 Chevy Chase Capital Corp. Ser. A, $5.188 pfd. (PIK) 1,288,941 ........................................................................................................................ 2,110 Chevy Chase Savings Bank, Inc. $3.25 pfd. 56,970 ........................................................................................................................ 210,000 CSBI Capital Trust I 144A company guaranty Ser. A, 11.75% pfd. 235,200 ........................................................................................................................ 15,773 CSC Holdings, Inc. Ser. M, $11.125 cum. pfd. (PIK) 993,699 ........................................................................................................................ 720 Delta Financial Corp. Ser. A, $10.00 cum. pfd. 8,280 ........................................................................................................................ 22,720 Diva Systems Corp. Ser. C, 6.00% cum. pfd. 227 ........................................................................................................................ 34,000 Diva Systems Corp. 144A Ser. D, zero % pfd. 340 ........................................................................................................................ 12,000 Doane Pet Care Co. $7.125 pfd. 420,000 ........................................................................................................................ 41 Dobson Communications Corp. 13.00% pfd. 22,550 ........................................................................................................................ 939 Dobson Communications Corp. 12.25% pfd. (PIK) 516,377 ........................................................................................................................ 310 First Republic Capital Corp. 144A 10.50% pfd. 310,000 ........................................................................................................................ 10,600 Fitzgeralds Gaming Corp. zero % cum. pfd. 106 ........................................................................................................................ 455 Granite Broadcasting Corp. 12.75% cum. pfd. (PIK) 309,400 ........................................................................................................................ 1 ICG Holdings, Inc. 14.25% pfd. (Canada) (In default) (NON) 1 ........................................................................................................................ 37 Leiner Health Products Ser. C, zero % pfd. 1 ........................................................................................................................ 4 Nextel Communications, Inc. Ser. D, 13.00% cum. pfd. (PIK) 1,040 ........................................................................................................................ 481 Nextel Communications, Inc. Ser. E, 11.125% pfd. (PIK) 105,820 ........................................................................................................................ 255 Paxson Communications Corp. 13.25% cum. pfd. (PIK) 1,989,000 ........................................................................................................................ 994 Rural Cellular Corp. 12.25% pfd. (PIK) 168,965 ------------------------------------------------------------------------------------------------------------------------ Total Preferred Stocks (cost $10,879,368) $7,628,138 ------------------------------------------------------------------------------------------------------------------------ BRADY BONDS (1.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $2,629,060 Brazil (Federal Republic of) bonds 8s, 2014 $1,659,726 ........................................................................................................................ 700,000 Brazil (Federal Republic of) government guaranty Ser. 30YR, 3.063s, 2024 413,000 ........................................................................................................................ 715,000 Brazil (Federal Republic of) govt. guaranty FRB 3 1/8s, 2012 378,950 ........................................................................................................................ 750,000 Central Bank of Nigeria bonds Ser. WW, 6 1/4s, 2020 495,975 ........................................................................................................................ 330,000 Peru (Republic of) coll. FLIRB 4s, 2017 218,229 ........................................................................................................................ 1,075,000 United Mexican States bonds Ser. B, 2 7/8s, 2019 1,017,273 ........................................................................................................................ 4,059,450 Venezuela (Republic of) debs. FRB Ser. DL, 2 7/8s, 2007 3,034,439 ------------------------------------------------------------------------------------------------------------------------ Total Brady Bonds (cost $8,002,953) $7,217,592 ------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS (0.8%) (a) (NON) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 2,113 Alderwoods Group, Inc. $16,017 ........................................................................................................................ 200 AmeriKing, Inc. 2 ........................................................................................................................ 239 Arch Wireless, Inc. 239 ........................................................................................................................ 28,114 Arch Wireless, Inc. 3 ........................................................................................................................ 12,220 Aurora Foods, Inc. 18,330 ........................................................................................................................ 4,897 Call-Net Enterprises, Inc. Class B (Canada) 1,543 ........................................................................................................................ 143,564 Celcaribe SA (Colombia) 1,436 ........................................................................................................................ 2,443,632 Contifinancial Corp. Liquidating Trust Units 116,073 ........................................................................................................................ 30,000 Contour Energy Co. 1,890 ........................................................................................................................ 13,547 Covad Communications Group, Inc. 144A 15,985 ........................................................................................................................ 914 Delta Funding Residual Exchange Co., LLC 199,709 ........................................................................................................................ 403 Delta Funding Residual Management, Inc. 4 ........................................................................................................................ 17,280 Doskocil Manufacturing Company, Inc. 67,910 ........................................................................................................................ 20,830 Fitzgerald Gaming Corp. 208 ........................................................................................................................ 6,090 Genesis Health Ventures, Inc. 122,348 ........................................................................................................................ 10,535 Intira Corp. 1 ........................................................................................................................ 110,000 Loewen Group International, Inc. 11 ........................................................................................................................ 800,000 Paracelsus Healthcare Corp. 80 ........................................................................................................................ 32,998 Pioneer Cos., Inc. 49,497 ........................................................................................................................ 61 Premium Holdings (L.P.) 144A 1,284 ........................................................................................................................ 528 PSF Holdings LLC Class A 1,109,010 ........................................................................................................................ 151 Quorum Broadcast Holdings, Inc. Class E (acquired 5/15/01, cost $150,680) (RES) 115,472 ........................................................................................................................ 137,535 Regal Entertainment Group 144A (acquired 5/9/02, cost $1,095,956) (RES) 2,405,482 ........................................................................................................................ 722 Sun Healthcare Group, Inc. 11,642 ........................................................................................................................ 22,399 United Artists Theatre Co. 376,303 ........................................................................................................................ 1,335 Vast Solutions, Inc. Class B1 4,005 ........................................................................................................................ 1,335 Vast Solutions, Inc. Class B2 4,005 ........................................................................................................................ 1,335 Vast Solutions, Inc. Class B3 4,005 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $7,739,986) $4,642,494 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE BONDS AND NOTES (0.2%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $630,000 American Tower Corp. cv. notes 5s, 2010 $285,894 ........................................................................................................................ 430,000 DaVita, Inc. cv. sub. notes 7s, 2009 420,325 ........................................................................................................................ 1,120,000 Exide Corp. 144A cv. sr. sub. notes 2.9s, 2005 (In default) (NON) 2,800 ........................................................................................................................ 99,000 Hexcel Corp. cv. sub. notes 7s, 2003 83,655 ........................................................................................................................ 930,000 Nextel Communications, Inc. cv. sr. notes 5 1/4s, 2010 384,788 ........................................................................................................................ 120,000 Rogers Communications cv. deb. 2s, 2005 (Canada) 91,200 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Bonds and Notes (cost $2,255,885) $1,268,662 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE PREFERRED STOCKS (0.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 88 Anker Coal Group, Inc. 14.25% cv. pfd. $440 ........................................................................................................................ 50 Genesis Health Ventures, Inc. $6.00 cv. pfd. (PIK) 5,500 ........................................................................................................................ 586 Hercules Trust II units 6.50% cum. cv. pfd. 345,740 ........................................................................................................................ 650 Interact Systems, Inc. 144A 14.00% cv. pfd. (In default) (NON) 7 ........................................................................................................................ 4,200 LTV Corp. 144A $4.125 cv. pfd. (In default) (NON) 525 ........................................................................................................................ 42 Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK) 302,400 ........................................................................................................................ 6,375 Telex Communications, Inc. zero % cv. pfd. (In default) (NON) 6,375 ........................................................................................................................ 108 World Access, Inc. 144A Ser. D, zero % cv. pfd. 1 ........................................................................................................................ 553 XCL, Ltd. 144A Ser. A, 9.50% cum. cv. pfd. (In default) (NON) (PIK) 277 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Preferred Stocks (cost $1,196,906) $661,265 ------------------------------------------------------------------------------------------------------------------------ UNITS (--%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Units Value ........................................................................................................................ 840,000 Australis Media, Ltd. units 15 3/4s, 2003 (Australia) (In default) (NON) $84 ........................................................................................................................ 650,000 XCL, Ltd. 144A units 13 1/2s, 2004 (In default) (NON) 195,813 ........................................................................................................................ 2,800 XCL, Ltd. 144A units cv. cum. pfd. zero % (In default) (NON) (PIK) 1,400 ------------------------------------------------------------------------------------------------------------------------ Total Units (cost $1,742,549) $197,297 ------------------------------------------------------------------------------------------------------------------------ WARRANTS (--%) (a) (NON) ------------------------------------------------------------------------------------------------------------------------ Number of Warrants Expiration Date Value ........................................................................................................................ 6 Anker Coal Group, Inc. 144A 10/28/09 $1 ........................................................................................................................ 410 Birch Telecommunications, Inc. 144A (PIK) 6/15/08 4 ........................................................................................................................ 395 Club Regina, Inc. 144A 12/1/04 4 ........................................................................................................................ 460 Colo.com, Inc. 144A 3/15/10 5 ........................................................................................................................ 1,100 Comunicacion Cellular 144A (Colombia) 11/15/03 1,100 ........................................................................................................................ 890 Dayton Superior Corp. 6/15/09 8,900 ........................................................................................................................ 1,320 Decrane Aircraft Holdings Co. 9/30/08 1 ........................................................................................................................ 12,402 Delta Financial Corp. 12/21/10 1 ........................................................................................................................ 877 Diva Systems Corp. 5/15/06 9 ........................................................................................................................ 4,971 Diva Systems Corp. 144A 3/1/08 50 ........................................................................................................................ 6,372 Genesis Health Ventures, Inc. 10/1/02 8,602 ........................................................................................................................ 300 Globalstar Telecommunications 2/15/04 3 ........................................................................................................................ 920 Horizon PCS, Inc. 10/1/10 1,150 ........................................................................................................................ 5,181 ICG Communications, Inc. 10/15/05 52 ........................................................................................................................ 16,667 Imperial Credit Industries, Inc. 8/1/08 17 ........................................................................................................................ 650 Interact Systems, Inc. 8/1/03 1 ........................................................................................................................ 650 Interact Systems, Inc. 144A 12/15/09 7 ........................................................................................................................ 63,257 Intira Corp. Class B 9/29/10 6 ........................................................................................................................ 790 iPCS, Inc. 144A 7/15/10 198 ........................................................................................................................ 650 Iridium World Com 144A 7/15/05 1 ........................................................................................................................ 520 IWO Holdings, Inc. 1/15/11 130 ........................................................................................................................ 970 Jostens, Inc. 5/1/10 9,700 ........................................................................................................................ 1,750 KMC Telecommunications Holdings, Inc. 144A 4/15/08 18 ........................................................................................................................ 1,035 Knology Holdings, Inc. 10/22/07 10 ........................................................................................................................ 486 Leap Wireless International, Inc. 144A 4/15/10 5 ........................................................................................................................ 2,664 Loral Space & Communications, Ltd. 12/27/06 27 ........................................................................................................................ 1,660 McCaw International, Ltd. 4/15/07 17 ........................................................................................................................ 495 Mediq, Inc. 144A 6/1/09 5 ........................................................................................................................ 350 Mikohn Gaming Corp. 144A 8/15/08 700 ........................................................................................................................ 360 ONO Finance PLC 144A (United Kingdom) 2/15/11 1 ........................................................................................................................ 500 Orbital Imaging Corp. 144A 3/1/05 1 ........................................................................................................................ 585 Orion Network Systems 1/15/07 6 ........................................................................................................................ 460 Pagemart, Inc. 144A 12/31/03 5 ........................................................................................................................ 960 Paxson Communications Corp. 144A 6/30/03 960 ........................................................................................................................ 350 Pliant Corp. 144A 6/1/10 700 ........................................................................................................................ 950 Startec Global Communications Corp. 5/15/08 10 ........................................................................................................................ 235 Sterling Chemicals Holdings 8/15/08 141 ........................................................................................................................ 1,805 Sun Healthcare Group, Inc. 2/28/05 181 ........................................................................................................................ 360 Telehub Communications Corp. 144A 7/31/05 1 ........................................................................................................................ 251 Telex Communications Group, Inc. 3/30/07 3 ........................................................................................................................ 330 Travel Centers of America, Inc. 144A 5/1/09 3 ........................................................................................................................ 1,420 Ubiquitel, Inc. 144A 4/15/10 17,040 ........................................................................................................................ 1,390 UIH Australia/Pacific, Inc. 144A 5/15/06 14 ........................................................................................................................ 12,984 United Artists Theatre 3/2/08 128,796 ........................................................................................................................ 650 Veraldo Holdings, Inc. 144A 4/15/08 7 ........................................................................................................................ 30 Versatel Telecom NV (Netherlands) 5/15/08 15 ........................................................................................................................ 500 XM Satellite Radio Holdings, Inc. 144A 3/15/10 500 ------------------------------------------------------------------------------------------------------------------------ Total Warrants (cost $1,723,361) $179,108 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (2.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $910,000 U.S. Treasury Bills for an effective yield of 1.70%, December 12, 2002 (SEG) $902,517 ........................................................................................................................ 7,596,000 Interest in $380,000,000 joint tri-party repurchase agreement dated June 28, 2002 with S.B.C. Warburg, Inc. due July 1, 2002 with respect to various U.S. Government obligations -- maturity value of $7,597,247 for an effective yield of 1.97% 7,596,000 ........................................................................................................................ 8,160,579 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 8,160,579 ........................................................................................................................ 10,155 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) 10,149 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $16,669,277) $16,669,245 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $620,758,886) (b) $563,745,905 ------------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION BY COUNTRY ------------------------------------------------------------------------------ Distribution of investments by country of issue at June 30, 2002: (as percentage of Market Value) ------------------------------------------------------------------------------ Canada 2.0% .............................................................................. Germany 2.3 .............................................................................. Russia 2.8 .............................................................................. Sweden 2.6 .............................................................................. United Kingdom 3.4 .............................................................................. United Mexican States 1.7 .............................................................................. United States 79.2 .............................................................................. Other 6.0 ------------------------------------------------------------------------------ Total 100.0% ------------------------------------------------------------------------------ Forward Currency Contracts to Buy at June 30, 2002 (Unaudited) (aggregate face value $43,556,164) ------------------------------------------------------------------------------ Aggregate Unrealized Face Delivery Appreciation/ Market Value Value Date (Depreciation) .............................................................................. Australian Dollars $12,443,502 $12,512,973 9/18/02 $(69,471) .............................................................................. British Pounds 4,147,185 4,011,964 9/18/02 135,221 .............................................................................. Canadian Dollars 1,143,044 1,131,977 9/18/02 11,067 .............................................................................. Euro 11,457,726 11,017,192 9/18/02 440,534 .............................................................................. Japanese Yen 15,017,048 14,547,653 9/18/02 469,395 .............................................................................. Swiss Franc 350,002 334,405 9/18/02 15,597 ------------------------------------------------------------------------------ $1,002,343 ------------------------------------------------------------------------------ Forward Currency Contracts to Sell at June 30, 2002 (Unaudited) (aggregate face value $25,116,247) ------------------------------------------------------------------------------ Aggregate Unrealized Market Face Delivery Appreciation/ Value Value Date (Depreciation) .............................................................................. British Pounds $6,956,230 $6,778,594 9/18/02 $(177,636) .............................................................................. Canadian Dollars 93,307 92,426 9/18/02 (881) .............................................................................. Danish Krone 566,653 536,955 9/18/02 (29,698) .............................................................................. Euro 1,109,859 1,112,749 9/18/02 2,890 .............................................................................. New Zealand Dollars 3,606,585 3,663,144 9/18/02 56,559 .............................................................................. Swedish Krona 13,733,030 12,932,379 9/18/02 (800,651) ------------------------------------------------------------------------------ $(949,417) ------------------------------------------------------------------------------ Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Unrealized Face Expiration Appreciation/ Market Value Value Date (Depreciation) .............................................................................. Euro 90 day (Long) $1,440,600 $1,431,851 Sep-03 $8,749 .............................................................................. Euro 90 day (Short) 1,449,225 1,438,175 Jun-03 (11,050) .............................................................................. Euro Bund 10yr (Long) 10,288,449 10,220,899 Sep-02 67,550 .............................................................................. Euro-Bobl (Long) 16,651,056 16,419,139 Sep-02 231,917 .............................................................................. Euroyen 90 days Simex (Long) 6,251,877 6,251,677 Sep-02 200 .............................................................................. Euroyen 90 days Simex (Short) 6,246,558 6,243,317 Sep-03 (3,241) .............................................................................. Interest Rate Swap 10 yr. CBT (Long) 1,351,188 1,345,352 Sep-02 5,836 .............................................................................. Interest Rate Swap 10 yr. LIF (Long) 1,358,968 1,356,443 Sep-02 2,525 .............................................................................. Japanese Government Bond 10yr-Simex (Long) 4,528,035 4,492,387 Sep-02 35,648 .............................................................................. Japanese Government Bond 10yr-TSE (Long) 3,480,851 3,450,324 Sep-02 30,527 .............................................................................. U.S. Treasury Bond (Long) 22,509,094 21,970,218 Sep-02 538,876 .............................................................................. U.S. Treasury Bond (Short) 1,130,594 1,132,213 Sep-02 1,619 .............................................................................. U.S. Treasury Note 10 yr. (Long) 4,611,078 4,481,925 Sep-02 129,153 .............................................................................. U.S. Treasury Note 10 yr. (Short) 17,586,438 17,077,149 Sep-02 (509,289) .............................................................................. U.S. Treasury Note 5 yr. (Short) 38,994,141 38,254,136 Sep-02 (740,005) ------------------------------------------------------------------------------ $(210,985) ------------------------------------------------------------------------------ Swap Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Notional Termination Unrealized Amount Date Appreciation .............................................................................. Agreement with Merrill Lynch Capital Services dated October 27, 2000 to receive semi-annually the notional amount multiplied by 6.74% and pay quarterly the notional amount multiplied by three month USD LIBOR. $5,600,000 Oct-05 $476,468 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT The George Putnam Fund of Boston The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (56.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Advertising and Marketing Services (0.1%) ........................................................................................................................ 8,000 Valassis Communications, Inc. (NON) $292,000 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (1.0%) ........................................................................................................................ 53,900 Boeing Co. (The) 2,425,500 ........................................................................................................................ 27,700 Lockheed Martin Corp. 1,925,150 ........................................................................................................................ 12,000 Northrop Grumman Corp. 1,500,000 ------------------------------------------------------------------------------------------------------------------------ 5,850,650 ------------------------------------------------------------------------------------------------------------------------ Automotive (0.1%) ........................................................................................................................ 27,400 Delphi Automotive Systems Corp. 361,680 ------------------------------------------------------------------------------------------------------------------------ Banking (7.8%) ........................................................................................................................ 95,200 Bank of America Corp. 6,698,272 ........................................................................................................................ 111,200 Bank of New York Company, Inc. (The) 3,753,000 ........................................................................................................................ 10,400 Banknorth Group, Inc. 270,608 ........................................................................................................................ 16,300 BB&T Corp. 629,180 ........................................................................................................................ 102,600 Charter One Financial, Inc. 3,527,388 ........................................................................................................................ 74,200 Comerica, Inc. 4,555,880 ........................................................................................................................ 21,300 FleetBoston Financial Corp. 689,055 ........................................................................................................................ 5,700 Greenpoint Financial Corp. 279,870 ........................................................................................................................ 123,000 JPMorgan Chase & Co. 4,172,160 ........................................................................................................................ 13,000 M&T Bank Corp. 1,114,880 ........................................................................................................................ 41,200 Mellon Financial Corp. 1,294,916 ........................................................................................................................ 5,400 Mercantile Bankshares Corp. 221,562 ........................................................................................................................ 333,800 U.S. Bancorp 7,794,230 ........................................................................................................................ 83,400 Wachovia Corp. 3,184,212 ........................................................................................................................ 55,800 Washington Mutual, Inc. 2,070,738 ........................................................................................................................ 97,900 Wells Fargo & Co. 4,900,874 ........................................................................................................................ 21,500 Zions Bancorporation 1,120,150 ------------------------------------------------------------------------------------------------------------------------ 46,276,975 ------------------------------------------------------------------------------------------------------------------------ Beverage (1.3%) ........................................................................................................................ 28,700 Anheuser-Busch Companies, Inc. 1,435,000 ........................................................................................................................ 4,550 Brown-Forman Corp. Class B 313,950 ........................................................................................................................ 74,200 Coca-Cola Co. (The) 4,155,200 ........................................................................................................................ 21,200 Coca-Cola Enterprises, Inc. 468,096 ........................................................................................................................ 33,800 Pepsi Bottling Group, Inc. (The) 1,041,040 ------------------------------------------------------------------------------------------------------------------------ 7,413,286 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.3%) ........................................................................................................................ 52,200 Charter Communications, Inc. Class A (NON) 212,976 ........................................................................................................................ 72,900 Comcast Corp. Class A (NON) 1,737,936 ------------------------------------------------------------------------------------------------------------------------ 1,950,912 ------------------------------------------------------------------------------------------------------------------------ Chemicals (1.4%) ........................................................................................................................ 19,700 Avery Dennison Corp. 1,236,175 ........................................................................................................................ 50,200 Dow Chemical Co. (The) 1,725,876 ........................................................................................................................ 30,300 E.I. du Pont de Nemours & Co. 1,345,320 ........................................................................................................................ 41,700 Engelhard Corp. 1,180,944 ........................................................................................................................ 40,900 PPG Industries, Inc. 2,531,710 ........................................................................................................................ 8,500 Rohm & Haas Co. 344,165 ------------------------------------------------------------------------------------------------------------------------ 8,364,190 ------------------------------------------------------------------------------------------------------------------------ Coal (0.3%) ........................................................................................................................ 25,600 Arch Coal, Inc. 581,376 ........................................................................................................................ 33,700 Peabody Energy Corp. 953,710 ------------------------------------------------------------------------------------------------------------------------ 1,535,086 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (--%) ........................................................................................................................ 14,500 ServiceMaster Co. (The) 198,940 ------------------------------------------------------------------------------------------------------------------------ Computers (1.8%) ........................................................................................................................ 386,296 Hewlett-Packard Co. 5,902,603 ........................................................................................................................ 44,800 IBM Corp. 3,225,600 ........................................................................................................................ 9,500 Lexmark International, Inc. (NON) 516,800 ........................................................................................................................ 20,500 NCR Corp. (NON) 709,300 ------------------------------------------------------------------------------------------------------------------------ 10,354,303 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (1.4%) ........................................................................................................................ 535 Berkshire Hathaway, Inc. Class B (NON) 1,195,190 ........................................................................................................................ 36,600 Cooper Industries, Ltd. Class A 1,438,380 ........................................................................................................................ 78,200 General Electric Co. 2,271,710 ........................................................................................................................ 20,200 Honeywell International, Inc. 711,646 ........................................................................................................................ 179,600 Tyco International, Ltd. (Bermuda) 2,426,396 ------------------------------------------------------------------------------------------------------------------------ 8,043,322 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.5%) ........................................................................................................................ 46,800 Household International, Inc. 2,325,960 ........................................................................................................................ 13,900 MBNA Corp. 459,673 ------------------------------------------------------------------------------------------------------------------------ 2,785,633 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.8%) ........................................................................................................................ 43,500 Colgate-Palmolive Co. 2,177,175 ........................................................................................................................ 78,100 Fortune Brands, Inc. 4,373,600 ........................................................................................................................ 49,300 Kimberly-Clark Corp. 3,056,600 ........................................................................................................................ 25,500 Newell Rubbermaid, Inc. 894,030 ------------------------------------------------------------------------------------------------------------------------ 10,501,405 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (2.7%) ........................................................................................................................ 47,900 Cinergy Corp. 1,723,921 ........................................................................................................................ 12,700 Constellation Energy Group, Inc. 372,618 ........................................................................................................................ 7,500 Dominion Resources, Inc. 496,500 ........................................................................................................................ 51,795 DPL, Inc. 1,369,978 ........................................................................................................................ 4,000 DTE Energy Co. 178,560 ........................................................................................................................ 19,600 Duke Energy Corp. 609,560 ........................................................................................................................ 22,800 Edison International (NON) 387,600 ........................................................................................................................ 66,500 Entergy Corp. 2,822,260 ........................................................................................................................ 51,000 FirstEnergy Corp. 1,702,380 ........................................................................................................................ 5,000 FPL Group, Inc. 299,950 ........................................................................................................................ 30,800 Northeast Utilities 579,348 ........................................................................................................................ 48,600 PG&E Corp. (NON) 869,454 ........................................................................................................................ 24,300 PPL Corp. 803,844 ........................................................................................................................ 66,800 Progress Energy, Inc. 3,474,268 ........................................................................................................................ 24,300 Reliant Energy, Inc. 410,670 ------------------------------------------------------------------------------------------------------------------------ 16,100,911 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (0.3%) ........................................................................................................................ 32,800 Emerson Electric Co. 1,755,128 ------------------------------------------------------------------------------------------------------------------------ Electronics (1.0%) ........................................................................................................................ 11,200 Agilent Technologies, Inc. (NON) 264,880 ........................................................................................................................ 7,400 Arrow Electronics, Inc. (NON) 153,550 ........................................................................................................................ 199,400 Intel Corp. 3,643,038 ........................................................................................................................ 44,000 LSI Logic Corp. (NON) 385,000 ........................................................................................................................ 100,100 Solectron Corp. (NON) 615,615 ........................................................................................................................ 14,600 W.W. Grainger, Inc. 731,460 ------------------------------------------------------------------------------------------------------------------------ 5,793,543 ------------------------------------------------------------------------------------------------------------------------ Energy (0.1%) ........................................................................................................................ 17,300 Schlumberger, Ltd. 804,450 ------------------------------------------------------------------------------------------------------------------------ Financial (3.6%) ........................................................................................................................ 324,600 Citigroup, Inc. 12,578,250 ........................................................................................................................ 60,100 Fannie Mae 4,432,375 ........................................................................................................................ 73,100 Freddie Mac 4,473,720 ------------------------------------------------------------------------------------------------------------------------ 21,484,345 ------------------------------------------------------------------------------------------------------------------------ Food (0.5%) ........................................................................................................................ 15,300 General Mills, Inc. 674,424 ........................................................................................................................ 27,200 H.J. Heinz Co. 1,117,920 ........................................................................................................................ 27,300 Kraft Foods, Inc. Class A 1,117,935 ------------------------------------------------------------------------------------------------------------------------ 2,910,279 ------------------------------------------------------------------------------------------------------------------------ Health Care (1.4%) ........................................................................................................................ 33,500 Anthem, Inc. (NON) 2,260,580 ........................................................................................................................ 14,200 Cardinal Health, Inc. 872,022 ........................................................................................................................ 38,800 CIGNA Corp. 3,779,896 ........................................................................................................................ 23,400 HCA, Inc. 1,111,500 ........................................................................................................................ 15,900 McKesson Corp. 519,930 ------------------------------------------------------------------------------------------------------------------------ 8,543,928 ------------------------------------------------------------------------------------------------------------------------ Insurance (2.5%) ........................................................................................................................ 108,800 ACE, Ltd. (Bermuda) 3,438,080 ........................................................................................................................ 11,300 AMBAC Financial Group, Inc. 759,360 ........................................................................................................................ 35,399 American International Group, Inc. 2,415,274 ........................................................................................................................ 3,200 Chubb Corp. (The) 226,560 ........................................................................................................................ 12,000 Hartford Financial Services Group, Inc. (The) 713,640 ........................................................................................................................ 7,200 MBIA, Inc. 407,016 ........................................................................................................................ 23,000 PMI Group, Inc. (The) 878,600 ........................................................................................................................ 38,600 Radian Group, Inc. 1,885,610 ........................................................................................................................ 9,200 UnumProvident Corp. 234,140 ........................................................................................................................ 47,100 XL Capital, Ltd. Class A (Bermuda) 3,989,370 ------------------------------------------------------------------------------------------------------------------------ 14,947,650 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (1.2%) ........................................................................................................................ 16,600 Goldman Sachs Group, Inc. (The) 1,217,610 ........................................................................................................................ 13,500 Lehman Brothers Holdings, Inc. 844,020 ........................................................................................................................ 43,200 Merrill Lynch & Company, Inc. 1,749,600 ........................................................................................................................ 71,700 Morgan Stanley Dean Witter & Co. 3,088,836 ------------------------------------------------------------------------------------------------------------------------ 6,900,066 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.8%) ........................................................................................................................ 166,500 Cendant Corp. (NON) 2,644,020 ........................................................................................................................ 29,900 Marriott International, Inc. Class A 1,137,695 ........................................................................................................................ 40,400 Royal Caribbean Cruises, Ltd. 787,800 ------------------------------------------------------------------------------------------------------------------------ 4,569,515 ------------------------------------------------------------------------------------------------------------------------ Machinery (0.7%) ........................................................................................................................ 43,300 Ingersoll-Rand Co. Class A (Bermuda) 1,977,078 ........................................................................................................................ 40,900 Parker-Hannifin Corp. 1,954,611 ------------------------------------------------------------------------------------------------------------------------ 3,931,689 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (0.1%) ........................................................................................................................ 3,600 Dover Corp. 126,000 ........................................................................................................................ 2,600 Illinois Tool Works, Inc. 177,580 ------------------------------------------------------------------------------------------------------------------------ 303,580 ------------------------------------------------------------------------------------------------------------------------ Media (1.3%) ........................................................................................................................ 33,200 AOL Time Warner, Inc. (NON) 488,372 ........................................................................................................................ 289,300 Liberty Media Corp. Class A (NON) 2,893,000 ........................................................................................................................ 36,700 USA Networks, Inc. (NON) 860,615 ........................................................................................................................ 182,200 Walt Disney Co. (The) 3,443,580 ------------------------------------------------------------------------------------------------------------------------ 7,685,567 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (0.2%) ........................................................................................................................ 24,100 Pall Corp. 500,075 ........................................................................................................................ 25,300 Zimmer Holdings, Inc. (NON) 902,198 ------------------------------------------------------------------------------------------------------------------------ 1,402,273 ------------------------------------------------------------------------------------------------------------------------ Metals (0.1%) ........................................................................................................................ 17,500 Alcoa, Inc. 580,125 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (0.4%) ........................................................................................................................ 123,800 Dynegy, Inc. Class A 891,360 ........................................................................................................................ 12,600 National Fuel Gas Co. 283,626 ........................................................................................................................ 48,300 NiSource, Inc. 1,054,389 ------------------------------------------------------------------------------------------------------------------------ 2,229,375 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (5.7%) ........................................................................................................................ 14,100 Anadarko Petroleum Corp. 695,130 ........................................................................................................................ 8,400 Chevron Texaco Corp. 743,400 ........................................................................................................................ 48,900 Conoco, Inc. 1,359,420 ........................................................................................................................ 12,200 Devon Energy Corp. 601,216 ........................................................................................................................ 30,600 El Paso Corp. 630,666 ........................................................................................................................ 329,500 Exxon Mobil Corp. 13,483,140 ........................................................................................................................ 24,000 Marathon Oil Corp. 650,880 ........................................................................................................................ 51,680 Phillips Petroleum Co. 3,042,918 ........................................................................................................................ 143,100 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 7,909,137 ........................................................................................................................ 27,100 TotalFinaElf SA ADR (France) 2,192,390 ........................................................................................................................ 72,200 Unocal Corp. 2,667,068 ------------------------------------------------------------------------------------------------------------------------ 33,975,365 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (1.4%) ........................................................................................................................ 91,700 Abitibi-Consolidated, Inc. (Toronto Exchange) (Canada) 845,367 ........................................................................................................................ 79,000 Abitibi-Consolidated, Inc. (Canada) 729,170 ........................................................................................................................ 18,500 Boise Cascade Corp. 638,805 ........................................................................................................................ 53,400 International Paper Co. 2,327,172 ........................................................................................................................ 124,500 Smurfit-Stone Container Corp. (NON) 1,919,790 ........................................................................................................................ 44,600 Sonoco Products Co. 1,263,072 ........................................................................................................................ 10,200 Weyerhaeuser Co. 651,270 ------------------------------------------------------------------------------------------------------------------------ 8,374,646 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (4.0%) ........................................................................................................................ 41,400 Abbott Laboratories 1,558,710 ........................................................................................................................ 58,000 Bristol-Myers Squibb Co. 1,490,600 ........................................................................................................................ 79,600 Johnson & Johnson 4,159,896 ........................................................................................................................ 17,800 King Pharmaceuticals, Inc. (NON) 396,050 ........................................................................................................................ 112,200 Merck & Company, Inc. 5,681,808 ........................................................................................................................ 157,100 Pfizer, Inc. 5,498,500 ........................................................................................................................ 42,488 Pharmacia Corp. 1,591,176 ........................................................................................................................ 78,800 Schering-Plough Corp. 1,938,480 ........................................................................................................................ 31,600 Wyeth 1,617,920 ------------------------------------------------------------------------------------------------------------------------ 23,933,140 ------------------------------------------------------------------------------------------------------------------------ Publishing (0.1%) ........................................................................................................................ 8,900 Tribune Co. 387,150 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.9%) ........................................................................................................................ 10,700 CSX Corp. 375,035 ........................................................................................................................ 78,600 Union Pacific Corp. 4,973,808 ------------------------------------------------------------------------------------------------------------------------ 5,348,843 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.9%) ........................................................................................................................ 44,300 Archstone-Smith Trust (R) 1,182,810 ........................................................................................................................ 29,600 Boston Properties, Inc. (R) 1,182,520 ........................................................................................................................ 36,600 Equity Office Properties Trust (R) 1,101,660 ........................................................................................................................ 73,700 Equity Residential Properties Trust (R) 2,118,875 ------------------------------------------------------------------------------------------------------------------------ 5,585,865 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (2.6%) ........................................................................................................................ 112,600 BellSouth Corp. 3,546,900 ........................................................................................................................ 211,400 SBC Communications, Inc. (SEG) 6,447,700 ........................................................................................................................ 133,900 Verizon Communications, Inc. 5,376,085 ------------------------------------------------------------------------------------------------------------------------ 15,370,685 ------------------------------------------------------------------------------------------------------------------------ Restaurants (0.5%) ........................................................................................................................ 88,400 McDonald's Corp. 2,514,980 ........................................................................................................................ 13,800 Yum! Brands, Inc. (NON) 403,650 ------------------------------------------------------------------------------------------------------------------------ 2,918,630 ------------------------------------------------------------------------------------------------------------------------ Retail (1.7%) ........................................................................................................................ 16,100 Federated Department Stores, Inc. (NON) 639,170 ........................................................................................................................ 124,300 JC Penney Company, Inc. 2,737,086 ........................................................................................................................ 77,300 Kroger Co. (NON) 1,538,270 ........................................................................................................................ 55,300 Limited Brands 1,177,890 ........................................................................................................................ 7,200 May Department Stores Co. 237,096 ........................................................................................................................ 102,700 Office Depot, Inc. (NON) 1,725,360 ........................................................................................................................ 34,600 Rite Aid Corp. (NON) 81,310 ........................................................................................................................ 35,700 Safeway, Inc. (NON) 1,042,083 ........................................................................................................................ 59,900 TJX Companies, Inc. (The) 1,174,639 ------------------------------------------------------------------------------------------------------------------------ 10,352,904 ------------------------------------------------------------------------------------------------------------------------ Software (0.8%) ........................................................................................................................ 138,700 BMC Software, Inc. (NON) 2,302,420 ........................................................................................................................ 136,600 Computer Associates International, Inc. 2,170,574 ........................................................................................................................ 20,600 PeopleSoft, Inc. (NON) 306,528 ------------------------------------------------------------------------------------------------------------------------ 4,779,522 ------------------------------------------------------------------------------------------------------------------------ Technology (--%) ........................................................................................................................ 29,200 Flextronics International, Ltd. (Singapore) (NON) 208,196 ------------------------------------------------------------------------------------------------------------------------ Technology Services (0.4%) ........................................................................................................................ 17,400 Automatic Data Processing, Inc. 757,770 ........................................................................................................................ 5,100 Convergys Corp. (NON) 99,348 ........................................................................................................................ 114,900 KPMG Consulting, Inc. (NON) 1,707,414 ------------------------------------------------------------------------------------------------------------------------ 2,564,532 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.6%) ........................................................................................................................ 11,000 ALLTEL Corp. 517,000 ........................................................................................................................ 133,900 AT&T Wireless Services, Inc. (NON) 783,315 ........................................................................................................................ 30,600 Citizens Communications Co. (NON) 255,816 ........................................................................................................................ 959 Covad Communications Group, Inc. 144A (NON) 1,132 ........................................................................................................................ 279,900 Qwest Communications International, Inc. (NON) 783,720 ........................................................................................................................ 125,200 Sprint Corp. (FON Group) 1,328,372 ------------------------------------------------------------------------------------------------------------------------ 3,669,355 ------------------------------------------------------------------------------------------------------------------------ Tobacco (1.3%) ........................................................................................................................ 179,300 Philip Morris Companies, Inc. 7,831,824 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.7%) ........................................................................................................................ 93,500 Republic Services, Inc. (NON) 1,783,045 ........................................................................................................................ 94,300 Waste Management, Inc. 2,456,515 ------------------------------------------------------------------------------------------------------------------------ 4,239,560 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $339,482,502) $333,411,023 ------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT AND AGENCY OBLIGATIONS (26.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ U.S. Government Agency Mortgage Obligations (18.5%) ........................................................................................................................ Federal Home Loan Mortgage Corporation ........................................................................................................................ $8,700,070 6s, with due dates from June 1, 2032 to July 1, 2032 $8,693,197 ........................................................................................................................ Federal National Mortgage Association Pass-Through Certificates ........................................................................................................................ 126,084 8s, October 1, 2025 134,944 ........................................................................................................................ 12,302,335 7 1/2s, with due dates from August 1, 2029 to August 1, 2031 12,921,391 ........................................................................................................................ 7,180,000 7 1/4s, January 15, 2010 8,138,027 ........................................................................................................................ Federal National Mortgage Association Pass-Through Certificates ........................................................................................................................ 970,837 7s, with due dates from June 1, 2007 to October 1, 2014 1,023,462 ........................................................................................................................ 696,295 6 1/2s, with due dates from September 1, 2016 to September 1, 2031 713,583 ........................................................................................................................ 42,478,000 TBA, 6 1/2s, July 1, 2032 43,301,224 ........................................................................................................................ 397,316 6s, with due dates from July 1, 2029 to June 1, 2032 397,730 ........................................................................................................................ 48,755 6s, January 1, 2015 49,807 ........................................................................................................................ 160,000 TBA, 6s, July 1, 2032 159,600 ........................................................................................................................ Government National Mortgage Association Pass-Through Certificates ........................................................................................................................ 2,569,418 8s, with due dates from December 15, 2022 to July 15, 2027 2,752,315 ........................................................................................................................ 342,314 7 1/2s, January 15, 2030 361,606 ........................................................................................................................ 9,267,389 7s, with due dates from August 15, 2023 to May 15, 2032 9,641,228 ........................................................................................................................ 9,388,903 6 1/2s, with due dates from March 15, 2028 to December 15, 2031 9,600,587 ........................................................................................................................ 11,460,000 TBA, 6 1/2s, July 1, 2032 11,689,200 ------------------------------------------------------------------------------------------------------------------------ 109,577,901 ------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Obligations (8.4%) ........................................................................................................................ U.S. Treasury Bonds ........................................................................................................................ 2,260,000 8s, November 15, 2021 2,890,676 ........................................................................................................................ 985,000 6 1/2s, November 15, 2026 1,089,292 ........................................................................................................................ 125,000 6 1/4s, May 15, 2030 135,405 ........................................................................................................................ 980,000 6 1/4s, August 15, 2023 1,049,992 ........................................................................................................................ 2,430,000 6s, February 15, 2026 2,527,565 ........................................................................................................................ 2,690,000 5 3/8s, February 15, 2031 2,634,075 ........................................................................................................................ U.S. Treasury Notes ........................................................................................................................ 4,400,000 4 7/8s, February 15, 2012 4,416,500 ........................................................................................................................ 15,590,000 4 3/8s, May 15, 2007 15,804,363 ........................................................................................................................ 6,995,000 3 1/4s, May 31, 2004 7,048,512 ........................................................................................................................ 12,200,000 2 7/8s, June 30, 2004 12,180,480 ------------------------------------------------------------------------------------------------------------------------ 49,776,860 ------------------------------------------------------------------------------------------------------------------------ Total U.S. Government and Agency Obligations (cost $157,882,874) $159,354,761 ------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES (9.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Aerospace and Defense (0.2%) ........................................................................................................................ $560,000 Boeing Co. (The) deb. 6 5/8s, 2038 $551,662 ........................................................................................................................ 570,000 Raytheon Co. notes 6.15s, 2008 579,291 ------------------------------------------------------------------------------------------------------------------------ 1,130,953 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.1%) ........................................................................................................................ 14,275 Continental Airlines, Inc. pass-through certificates Ser. 974C, 6.8s, 2009 13,724 ........................................................................................................................ 110,000 Continental Airlines, Inc. pass-through certificates Ser. 98-2, 6.32s, 2008 109,812 ........................................................................................................................ 533,580 Continental Airlines, Inc. pass-through certificates Ser. 981C, 6.541s, 2009 502,355 ........................................................................................................................ 90,000 Northwest Airlines, Inc. company guaranty 8.52s, 2004 81,000 ------------------------------------------------------------------------------------------------------------------------ 706,891 ------------------------------------------------------------------------------------------------------------------------ Automotive (0.8%) ........................................................................................................................ 260,000 Dana Corp. notes 9s, 2011 254,800 ........................................................................................................................ 490,000 Ford Motor Co. bonds 6 5/8s, 2028 412,707 ........................................................................................................................ 895,000 Ford Motor Co. notes 7.45s, 2031 831,697 ........................................................................................................................ 20,000 Ford Motor Credit Corp. notes 7.6s, 2005 20,968 ........................................................................................................................ 540,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 548,159 ........................................................................................................................ 1,150,000 Ford Motor Credit Corp. notes 6 1/2s, 2007 1,153,075 ........................................................................................................................ 420,000 General Motors Acceptance Corp. notes 7s, 2012 419,041 ........................................................................................................................ 410,000 General Motors Acceptance Corp. notes 6 1/8s, 2006 417,167 ........................................................................................................................ 460,000 General Motors Acceptance Corp. notes Ser. MTN, 5.36s, 2004 466,707 ........................................................................................................................ 195,000 Visteon Corp. sr. notes 8 1/4s, 2010 209,779 ------------------------------------------------------------------------------------------------------------------------ 4,734,100 ------------------------------------------------------------------------------------------------------------------------ Banking (1.5%) ........................................................................................................................ 155,000 Bank of America Corp. sub. notes 7.4s, 2011 169,496 ........................................................................................................................ 1,110,000 Bank United Corp. notes Ser. A, 8s, 2009 1,222,887 ........................................................................................................................ 270,000 BankBoston NA sub. notes Ser. BKNT, 6 3/8s, 2008 280,479 ........................................................................................................................ 580,000 Citicorp sub. notes 6 3/8s, 2008 607,504 ........................................................................................................................ 215,000 Colonial Bank sub. notes 9 3/8s, 2011 231,639 ........................................................................................................................ 325,000 Colonial Bank sub. notes 8s, 2009 326,186 ........................................................................................................................ 240,000 Dime Capital Trust I bank guaranty Ser. A, 9.33s, 2027 261,722 ........................................................................................................................ 840,000 First Union Capital II notes Ser. A, 7.95s, 2029 905,738 ........................................................................................................................ 240,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 254,117 ........................................................................................................................ 510,000 Imperial Bank sub. notes 8 1/2s, 2009 572,228 ........................................................................................................................ 455,000 JPMorgan Chase & Co. notes 5.35s, 2007 459,277 ........................................................................................................................ 170,000 Merita Bank, Ltd. sub. notes 6 1/2s, 2006 (Finland) 179,404 ........................................................................................................................ 220,000 National City Corp. sub. notes 7.2s, 2005 237,567 ........................................................................................................................ 395,000 NB Capital Trust IV company guaranty 8 1/4s, 2027 426,414 ........................................................................................................................ 1,310,000 Peoples Bank-Bridgeport sub. notes 7.2s, 2006 1,285,110 ........................................................................................................................ 550,000 PNC Funding Corp. company guaranty 5 3/4s, 2006 567,347 ........................................................................................................................ 585,000 Royal Bank of Scotland Group PLC FRN 7 3/8s, 2049 (United Kingdom) 622,405 ........................................................................................................................ 250,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 275,000 ------------------------------------------------------------------------------------------------------------------------ 8,884,520 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.1%) ........................................................................................................................ 210,000 British Sky Broadcasting PLC company guaranty 8.2s, 2009 (United Kingdom) 206,974 ........................................................................................................................ 440,000 News America Holdings, Inc. deb. 7.7s, 2025 407,163 ........................................................................................................................ 120,000 News America, Inc. sr. notes 6 5/8s, 2008 120,014 ------------------------------------------------------------------------------------------------------------------------ 734,151 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.1%) ........................................................................................................................ 10,000 CSC Holdings, Inc. deb. 7 5/8s, 2018 7,161 ........................................................................................................................ 322,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 239,890 ........................................................................................................................ 535,000 TCI Communications, Inc. deb. 7 7/8s, 2013 481,072 ------------------------------------------------------------------------------------------------------------------------ 728,123 ------------------------------------------------------------------------------------------------------------------------ Chemicals (0.2%) ........................................................................................................................ 70,000 Airgas, Inc. company guaranty 9 1/8s, 2011 73,850 ........................................................................................................................ 270,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 257,850 ........................................................................................................................ 30,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 32,186 ........................................................................................................................ 100,000 IMC Global, Inc. notes 6.55s, 2005 92,332 ........................................................................................................................ 240,000 Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 228,000 ........................................................................................................................ 140,000 Lyondell Chemical Co. sec. notes Ser. B, 9 7/8s, 2007 133,700 ........................................................................................................................ 170,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 175,100 ------------------------------------------------------------------------------------------------------------------------ 993,018 ------------------------------------------------------------------------------------------------------------------------ Computers (0.1%) ........................................................................................................................ 450,000 IBM Corp. deb. 7 1/8s, 2096 449,330 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (--%) ........................................................................................................................ 310,000 Tyco International, Ltd. notes 6 3/8s, 2011 (Luxembourg) 237,150 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.3%) ........................................................................................................................ 930,000 American General Finance notes Ser. F, 5 7/8s, 2006 962,820 ........................................................................................................................ 130,000 Capital One Financial Corp. notes 7 1/4s, 2006 128,535 ........................................................................................................................ 845,000 Household Finance Corp. sr. unsub. 5 7/8s, 2009 803,865 ------------------------------------------------------------------------------------------------------------------------ 1,895,220 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (0.6%) ........................................................................................................................ 160,000 Avista Corp. sr. notes 9 3/4s, 2008 170,565 ........................................................................................................................ 225,000 CILCORP, Inc. sr. notes 8.7s, 2009 243,776 ........................................................................................................................ 220,000 CMS Energy Corp. sr. notes 8.9s, 2008 171,600 ........................................................................................................................ 190,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 134,900 ........................................................................................................................ 20,000 CMS Energy Corp. sr. notes Ser. B, 6 3/4s, 2004 15,000 ........................................................................................................................ 880,000 FirstEnergy Corp. notes Ser. A, 5 1/2s, 2006 854,093 ........................................................................................................................ 240,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 247,200 ........................................................................................................................ 770,000 Nisource Finance Corp. company guaranty 7 7/8s, 2010 793,662 ........................................................................................................................ 260,000 Northwestern Corp. 144A notes 8 3/4s, 2012 231,183 ........................................................................................................................ 295,000 NRG Energy, Inc. sr. notes 6 3/4s, 2006 236,920 ........................................................................................................................ 555,000 PSI Energy, Inc. 1st mtge. Ser. EEE, 6.65s, 2006 568,670 ------------------------------------------------------------------------------------------------------------------------ 3,667,569 ------------------------------------------------------------------------------------------------------------------------ Electronics (--%) ........................................................................................................................ 170,000 Sequa Corp. sr. notes 9s, 2009 170,000 ------------------------------------------------------------------------------------------------------------------------ Energy (0.1%) ........................................................................................................................ 130,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 135,525 ........................................................................................................................ 590,000 Transocean Sedco Forex, Inc. notes 6 5/8s, 2011 606,555 ------------------------------------------------------------------------------------------------------------------------ 742,080 ------------------------------------------------------------------------------------------------------------------------ Financial (0.8%) ........................................................................................................................ 425,000 Ace INA Holdings, Inc. company guaranty 8.3s, 2006 467,462 ........................................................................................................................ 150,000 Associates Corp. sr. notes 6 1/4s, 2008 156,003 ........................................................................................................................ 335,000 Associates First Capital Corp. deb. 6.95s, 2018 343,362 ........................................................................................................................ 350,000 Associates First Capital Corp. sub. deb. 8.15s, 2009 391,248 ........................................................................................................................ 490,000 CIT Group, Inc. sr. notes 7 3/4s, 2012 490,000 ........................................................................................................................ 305,000 Conseco Financing Trust II company guaranty 8.7s, 2026 54,900 ........................................................................................................................ 330,000 Conseco Finance Trust III bonds 8.796s, 2027 59,400 ........................................................................................................................ 60,000 Fairfax Financial Holdings, Ltd. notes 6 7/8s, 2008 (Canada) 51,600 ........................................................................................................................ 550,000 Liberty Mutual Insurance 144A notes 7.697s, 2097 435,380 ........................................................................................................................ 220,000 Markel Capital Trust I company guaranty Ser. B, 8.71s, 2046 177,030 ........................................................................................................................ 480,000 Metlife, Inc. sr. notes 5 1/4s, 2006 489,429 ........................................................................................................................ 360,000 Principal Financial Group 144A notes 7.95s, 2004 (Australia) 386,240 ........................................................................................................................ 770,000 Sun Life Canada Capital Trust 144A company guaranty 8.526s, 2049 806,383 ........................................................................................................................ 390,000 TIG Capital Trust I 144A bonds 8.597s, 2027 156,000 ------------------------------------------------------------------------------------------------------------------------ 4,464,437 ------------------------------------------------------------------------------------------------------------------------ Food (0.1%) ........................................................................................................................ 845,000 Kraft Foods, Inc. notes 4 5/8s, 2006 839,262 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.1%) ........................................................................................................................ 190,000 Mandalay Resort Group sr. sub. notes Ser. B, 10 1/4s, 2007 202,825 ........................................................................................................................ 50,000 MGM Mirage, Inc. company guaranty 9 3/4s, 2007 53,500 ........................................................................................................................ 90,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 92,025 ........................................................................................................................ 170,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 175,950 ........................................................................................................................ 40,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 39,000 ........................................................................................................................ 220,000 Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007 234,025 ------------------------------------------------------------------------------------------------------------------------ 797,325 ------------------------------------------------------------------------------------------------------------------------ Health Care (--%) ........................................................................................................................ 170,000 HCA, Inc. sr. notes 7 7/8s, 2011 180,610 ------------------------------------------------------------------------------------------------------------------------ Homebuilding (0.1%) ........................................................................................................................ 175,000 D.R. Horton, Inc. company guaranty 8s, 2009 173,688 ........................................................................................................................ 90,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 99,000 ........................................................................................................................ 80,000 Toll Corp. sr. sub. notes 8 1/4s, 2011 80,000 ------------------------------------------------------------------------------------------------------------------------ 352,688 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.5%) ........................................................................................................................ 340,000 Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011 352,359 ........................................................................................................................ 2,256,000 Morgan Stanley Tracers 144A FRN 7.756s, 2032 2,407,603 ........................................................................................................................ 450,000 Salomon, Inc. sr. notes 6 3/4s, 2003 462,335 ------------------------------------------------------------------------------------------------------------------------ 3,222,297 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.1%) ........................................................................................................................ 160,000 Felcor Lodging LP company guaranty 8 1/2s, 2008 (R) 156,000 ........................................................................................................................ 220,000 Hilton Hotels Corp. notes 8 1/4s, 2011 227,600 ........................................................................................................................ 315,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 300,825 ........................................................................................................................ 30,000 HMH Properties, Inc. sr. notes Ser. C, 8.45s, 2008 29,288 ------------------------------------------------------------------------------------------------------------------------ 713,713 ------------------------------------------------------------------------------------------------------------------------ Machinery (0.2%) ........................................................................................................................ 30,000 Case Corp. notes 7 1/4s, 2016 23,400 ........................................................................................................................ 920,000 Caterpillar, Inc. notes 6.55s, 2011 968,668 ------------------------------------------------------------------------------------------------------------------------ 992,068 ------------------------------------------------------------------------------------------------------------------------ Media (0.1%) ........................................................................................................................ 500,000 AOL Time Warner, Inc. bonds 7 5/8s, 2031 437,760 ------------------------------------------------------------------------------------------------------------------------ Metals (0.1%) ........................................................................................................................ 195,000 AK Steel Corp. sr. notes 9 1/8s, 2006 203,775 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (0.1%) ........................................................................................................................ 30,000 CMS Panhandle Holding Corp. sr. notes 6 1/2s, 2009 23,132 ........................................................................................................................ 500,000 CMS Panhandle Holding Corp. sr. notes 6 1/8s, 2004 442,270 ........................................................................................................................ 145,000 Transcontinental Gas Pipeline Corp. notes Ser. B, 7s, 2011 117,193 ------------------------------------------------------------------------------------------------------------------------ 582,595 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (1.0%) ........................................................................................................................ 360,000 Conoco Funding Co. company guaranty 6.35s, 2011 373,655 ........................................................................................................................ 540,000 Conoco Funding Co. company guaranty 5.45s, 2006 553,424 ........................................................................................................................ 250,000 El Paso Energy Partners L.P. company guaranty Ser. B, 8 1/2s, 2011 247,500 ........................................................................................................................ 1,075,000 Kerr-McGee Corp. company guaranty 6 7/8s, 2011 1,130,244 ........................................................................................................................ 100,000 Leviathan Gas Corp. company guaranty Ser. B, 10 3/8s, 2009 104,500 ........................................................................................................................ 1,100,000 Louis Dreyfus Natural Gas Corp. notes 6 7/8s, 2007 1,171,005 ........................................................................................................................ 60,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 60,000 ........................................................................................................................ 855,000 Occidental Petroleum, Corp. 144A Structured Notes (issued by STEERS Credit Trust 2001) 6.019%, 2004 880,650 ........................................................................................................................ 365,000 Phillips Petroleum Co. notes 8 3/4s, 2010 431,788 ........................................................................................................................ 190,000 Pioneer Natural Resources Co. company guaranty 9 5/8s, 2010 212,800 ........................................................................................................................ 118,000 Port Arthur Finance Corp. company guaranty 12 1/2s, 2009 129,800 ........................................................................................................................ 265,000 Union Oil Company of California company guaranty 7 1/2s, 2029 278,793 ........................................................................................................................ 135,000 Union Pacific Resources Group, Inc. notes 7.3s, 2009 144,839 ------------------------------------------------------------------------------------------------------------------------ 5,718,998 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (0.1%) ........................................................................................................................ 130,000 Boise Cascade Corp. notes 7 1/2s, 2008 133,610 ........................................................................................................................ 40,000 Norampac, Inc. sr. notes 9 1/2s, 2008 (Canada) 42,400 ........................................................................................................................ 355,000 Weyerhaeuser Co. 144A bonds 7 3/8s, 2032 359,413 ........................................................................................................................ 295,000 Weyerhaeuser Co. 144A notes 6 3/4s, 2012 303,298 ------------------------------------------------------------------------------------------------------------------------ 838,721 ------------------------------------------------------------------------------------------------------------------------ Power Producers (0.1%) ........................................................................................................................ 500,000 AES Corp. (The) sr. notes 9 3/8s, 2010 325,000 ........................................................................................................................ 100,000 AES Corp. (The) sr. notes 8 7/8s, 2011 64,000 ........................................................................................................................ 30,000 Mirant Americas Generation, Inc. sr. notes 8.3s, 2011 25,800 ------------------------------------------------------------------------------------------------------------------------ 414,800 ------------------------------------------------------------------------------------------------------------------------ Publishing (--%) ........................................................................................................................ 90,000 PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 66,600 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.3%) ........................................................................................................................ 485,000 Burlington Northern Santa Fe Corp. notes 7 1/8s, 2010 522,932 ........................................................................................................................ 975,000 Norfolk Southern Corp. sr. notes 6 3/4s, 2011 1,024,735 ------------------------------------------------------------------------------------------------------------------------ 1,547,667 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.2%) ........................................................................................................................ 450,000 EOP Operating LP sr. notes 7s, 2011 468,229 ........................................................................................................................ 560,000 Simon Property Group LP 144A notes 6 3/8s, 2007 575,943 ------------------------------------------------------------------------------------------------------------------------ 1,044,172 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (0.2%) ........................................................................................................................ 165,000 Qwest Capital Funding, Inc. company guaranty 7 3/4s, 2006 100,650 ........................................................................................................................ 390,000 Qwest Capital Funding, Inc. company guaranty 7 1/4s, 2011 214,500 ........................................................................................................................ 180,000 Qwest Corp. 144A notes 8 7/8s, 2012 160,200 ........................................................................................................................ 30,000 US West Capital Funding, Inc. company guaranty 6 1/4s, 2005 19,800 ........................................................................................................................ 765,000 Verizon Global Funding Corp. notes 7 1/4s, 2010 762,368 ------------------------------------------------------------------------------------------------------------------------ 1,257,518 ------------------------------------------------------------------------------------------------------------------------ Restaurants (--%) ........................................................................................................................ 80,000 Tricon Global Restaurants, Inc. sr. notes 8 7/8s, 2011 84,800 ........................................................................................................................ 80,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 81,200 ------------------------------------------------------------------------------------------------------------------------ 166,000 ------------------------------------------------------------------------------------------------------------------------ Retail (0.1%) ........................................................................................................................ 280,000 JC Penney Company, Inc. notes 7.6s, 2007 274,400 ........................................................................................................................ 140,000 Southland Corp. sr. sub. deb. 5s, 2003 134,400 ------------------------------------------------------------------------------------------------------------------------ 408,800 ------------------------------------------------------------------------------------------------------------------------ Technology (--%) ........................................................................................................................ 40,000 Flextronics International, Ltd. sr. sub. notes 9 7/8s, 2010 (Singapore) 41,600 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.4%) ........................................................................................................................ 483,604 Calpoint Receivable Structured Trust 2001 144A bonds 7.44s, 2006 386,883 ........................................................................................................................ 425,000 Cingular Wireless 144A notes 5 5/8s, 2006 406,649 ........................................................................................................................ 300,000 France Telecom FRN 7 3/4s, 2011 (France) 265,464 ........................................................................................................................ 200,000 PanAmSat Corp. 144A sr. notes 8 1/2s, 2012 185,546 ........................................................................................................................ 295,000 Sprint Capital Corp. company guaranty 8 3/4s, 2032 224,200 ........................................................................................................................ 740,000 Verizon Wireless, Inc. 144A notes 5 3/8s, 2006 690,287 ------------------------------------------------------------------------------------------------------------------------ 2,159,029 ------------------------------------------------------------------------------------------------------------------------ Telephone (--%) ........................................................................................................................ 110,000 WorldCom, Inc. sr. notes 6.4s, 2005 (In default) (NON) 17,600 ........................................................................................................................ 820,000 WorldCom, Inc.-WorldCom Group notes 7 1/2s, 2011 (In default) (NON) 131,200 ------------------------------------------------------------------------------------------------------------------------ 148,800 ------------------------------------------------------------------------------------------------------------------------ Textiles (--%) ........................................................................................................................ 60,000 Levi Strauss & Co. sr. notes 11 5/8s, 2008 57,000 ------------------------------------------------------------------------------------------------------------------------ Tobacco (0.1%) ........................................................................................................................ 430,000 Philip Morris Companies, Inc. notes 7.2s, 2007 466,038 ------------------------------------------------------------------------------------------------------------------------ Toys (--%) ........................................................................................................................ 60,000 Hasbro, Inc. notes 6.15s, 2008 55,200 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.2%) ........................................................................................................................ 400,000 Browning-Ferris Industries, Inc. deb. 7.4s, 2035 296,000 ........................................................................................................................ 270,000 Waste Management, Inc. notes 6 5/8s, 2002 270,257 ........................................................................................................................ 545,000 Waste Management, Inc. sr. notes 6 1/2s, 2008 547,519 ------------------------------------------------------------------------------------------------------------------------ 1,113,776 ------------------------------------------------------------------------------------------------------------------------ Total Corporate Bonds and Notes (cost $54,663,307) $53,364,354 ------------------------------------------------------------------------------------------------------------------------ COLLATERALIZED MORTGAGE OBLIGATIONS (3.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Amortizing Residential Collateral Trust ........................................................................................................................ $4,520,000 Ser. 02-BC3, Class AIO, Interest Only (IO), 6s, 2005 $394,441 ........................................................................................................................ 2,320,000 Ser. 02-BC1, Class AIO, IO, 6s, 2005 170,103 ........................................................................................................................ 4,230,000 Ser. 01-BC6, Class AIO, IO, 6s, 2004 292,300 ........................................................................................................................ 211,000 Ser. 02-BC1, Class M2, FRN, 2.95s, 2032 208,446 ........................................................................................................................ Arc Net Interest Margin Trust ........................................................................................................................ 244,852 Ser. 02-2, Class A, 7 3/4s, 2032 243,984 ........................................................................................................................ 116,261 FRN Ser. 01-5A, Class A, 2.47s, 2008 115,970 ........................................................................................................................ 203,526 Chase Commercial Mortgage Securities Corp. Ser. 98-1, Class A1, 6.34s, 2006 212,208 ........................................................................................................................ 5,007,915 Commercial Mortgage Asset Trust Ser. 99-C1, Class X, IO, 1.16s, 2020 288,738 ........................................................................................................................ Countrywide Home Loan ........................................................................................................................ 100,000 Ser. 98-A12, Class A14, 8s, 2028 107,250 ........................................................................................................................ 330,000 Ser. 98-3, Class A5, 6 3/4s, 2028 340,930 ........................................................................................................................ 455,000 Countrywide Mortgage Backed Securities, Inc. Ser. 93-C, Class A8, 6 1/2s, 2024 465,661 ........................................................................................................................ CS First Boston Mortgage Securities Corp. ........................................................................................................................ 258,862 Ser. 01-CK3, Class A1, 5.26s, 2006 266,540 ........................................................................................................................ 75,724 Ser. 01-CKN5, Class A1, 3.801s, 2006 75,938 ........................................................................................................................ 1,230,291 DLJ Commercial Mortgage Corp. Ser. 00-CKP1, Class A1A, 6.93s, 2009 1,314,388 ........................................................................................................................ Fannie Mae ........................................................................................................................ 602,858 Ser. 02-36, Class SJ, 15 1/2s, 2031 644,244 ........................................................................................................................ 1,614,000 Ser. 02-W4, Class A5, 7 1/2s, 2042 1,720,928 ........................................................................................................................ 818,506 Ser. 01-T10, Class A2, 7 1/2s, 2041 872,732 ........................................................................................................................ 580,708 Ser. 01-T12, Class A2, 7 1/2s, 2031 619,180 ........................................................................................................................ 1,126,261 Ser. 01-T8, Class A1, 7 1/2s, 2031 1,200,876 ........................................................................................................................ 942,551 Ser. 01-T7, Class A1, 7 1/2s, 2031 1,004,995 ........................................................................................................................ 689,013 Ser. 00-T6, Class A1, 7 1/2s, 2030 734,660 ........................................................................................................................ 1,583,552 Ser. 01-T4, Class A1, 7 1/2s, 2028 1,688,462 ........................................................................................................................ 141,513 Ser. 00-4, Class SX, 6 1/2s, 2023 142,220 ........................................................................................................................ 1,306,202 Ser. 02-36, Class QH, IO, 6.21s, 2031 101,935 ........................................................................................................................ 495,070 Ser. 02-27, Class SQ, IO, 6.16s, 2032 43,164 ........................................................................................................................ 10,729,097 Ser. 01-T12, IO, 0.5715s, 2041 197,818 ........................................................................................................................ 8,255,481 Ser. 02-T1, IO, 0.4261s, 2031 114,158 ........................................................................................................................ 61,605 Ser. 01-T7, PO, zero %, 2031 41,121 ........................................................................................................................ 50,490 Ser. 00-T6, PO, zero %, 2030 33,702 ........................................................................................................................ 35,371 Ser. 01-T3, PO, zero %, 2029 23,610 ........................................................................................................................ 181,019 Ser. 01-T4, PO, zero %, 2028 120,830 ........................................................................................................................ 12,467 Ser. 01-T1, PO, zero %, 2028 8,322 ........................................................................................................................ 1,485,000 FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027 1,654,759 ........................................................................................................................ 60,000 First Union National Bank Commercial Mortgage 144A Ser. 01-C4, Class F, 6.79s, 2033 63,527 ........................................................................................................................ Freddie Mac ........................................................................................................................ 565,000 Ser. 2028, Class SG, IO, 11.25s, 2023 160,319 ........................................................................................................................ 1,280,508 Ser. 216, IO, 6s, 2032 359,743 ........................................................................................................................ 70,000 GE Capital Mortgage Services, Inc. Ser. 98-11, Class 2A4, 6 3/4s, 2028 72,143 ........................................................................................................................ 970,536 General Growth Properties-Mall Properties Trust FRB Ser. 01-C1A, Class D3, 4.09s, 2014 970,536 ........................................................................................................................ 84,179 General Growth Properties-Mall Properties Trust 144A Ser. 01-C1A, Class D2, 5.89s, 2011 84,811 ........................................................................................................................ 794,000 GMAC Commercial Mortgage Securities, Inc. Ser. 97-C2, Class A2, 6.55s, 2007 831,963 ........................................................................................................................ 535,000 GS Mortgage Securities Corp. II Ser. 01-LIB, Class A2, 6.615s, 2016 543,653 ........................................................................................................................ 160,000 LB Commercial Conduit Mortgage Trust Ser. 1999-C2, Class B, 7.425s, 2009 176,612 ........................................................................................................................ 790,000 LB-UBS Commercial Mortgage Trust Ser. 01-C3, Class A2, 6.37s, 2011 828,636 ........................................................................................................................ 3,920,390 LB-UBS Commercial Mortgage Trust 144A Ser. 01-C7, Class XCL, IO, 0.829s, 2033 157,678 ........................................................................................................................ Merrill Lynch Mortgage Investors, Inc. ........................................................................................................................ 160,000 Ser. 96-C2, Class E, 6.96s, 2028 158,188 ........................................................................................................................ 112,771 Ser. 98-C2, Class A1, 6.22s, 2030 117,315 ........................................................................................................................ Morgan Stanley Dean Witter Capital I ........................................................................................................................ 85,000 Ser. 00, Class B, 7.638s, 2010 95,426 ........................................................................................................................ 80,225 Ser. 01-IQA, Class A1, 4.57s, 2006 81,195 ........................................................................................................................ Morgan Stanley Dean Witter Capital I 144A ........................................................................................................................ 114,459 FRB Ser. 01-XLF, Class D, 3.6s, 2013 114,298 ........................................................................................................................ 75,588 FRB Ser. 01-XLF, Class E, 3.314s, 2013 74,796 ........................................................................................................................ 250,000 Starwood Asset Receivables Trust Ser. 02-1A, Class F, FRN, 3.34s, 2020 249,688 ........................................................................................................................ 376,048 TIAA Retail Commercial Mortgage Trust Ser. 1999-1, Class A, 7.17s, 2032 402,409 ------------------------------------------------------------------------------------------------------------------------ Total Collateralized Mortgage Obligations (cost $20,737,672) $21,007,549 ------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES (2.7%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $165,000 Advanta Mortgage Loan Trust Ser. 00-1, Class A4, 8.61s, 2028 $178,151 ........................................................................................................................ 363,000 Amortizing Residential Collateral Trust Ser. 02-BC3, Class NIM, 7s, 2032 358,992 ........................................................................................................................ 233,447 Arc Net Interest Margin Trust 144A Ser. 02-1A, Class A, 7 3/4s, 2032 233,031 ........................................................................................................................ 191,836 Asset Backed Funding Corp. NIM Trust Ser. 02-WF1, 9.32s, 2032 189,948 ........................................................................................................................ 576,000 Asset Backed Securities Corp. Home Equity Loan Trust Ser. 02-HE2, Class M2, FRN, 2.97s, 2032 575,999 ........................................................................................................................ 3,268,000 Asset Backed Securities Corp. Home Equity Loan Trust, Ser. 02-HE1, Class AIO, IO, 6 1/2s, 2032 289,836 ........................................................................................................................ 609,000 Bank One Issuance Trust Ser. 02-C1, Class C1, FRN, 2.801s, 2007 609,000 ........................................................................................................................ Bayview Financial Acquisition Trust ........................................................................................................................ 380,813 Ser. 01-DA, Class M3, FRN, 3.24s, 2031 380,813 ........................................................................................................................ 335,000 Ser. 02-CA, Class AIO, IO, 14s, 2004 53,338 ........................................................................................................................ 27,147,295 Bayview Financial Acquisition Trust 144A Ser. 02-XA, Class A1, IO, .069s, 2005 330,858 ........................................................................................................................ Chase Funding Net Interest Margin ........................................................................................................................ 195,000 Ser. 02-1, Class Note, 8 1/2s, 2035 193,362 ........................................................................................................................ 160,000 Ser. 02-C1, Class Note, 8 1/2s, 2035 163,008 ........................................................................................................................ Conseco Finance Securitizations Corp. ........................................................................................................................ 1,480,000 Ser. 00-4, Class A6, 8.31s, 2032 1,605,440 ........................................................................................................................ 665,000 Ser. 01-04, Class A4, 7.36s, 2019 688,024 ........................................................................................................................ Conseco Finance Securitizations Corp. ........................................................................................................................ 480,000 Ser. 01-3, Class A4, 6.91s, 2031 483,298 ........................................................................................................................ 300,000 Ser. 01-4, Class B1, 9.4s, 2010 282,592 ........................................................................................................................ 1,254,499 Ser. 02-1, Class A, 6.681s, 2033 1,288,019 ........................................................................................................................ 370,000 Ser. 02-1, Class M2, 9.546s, 2033 375,269 ........................................................................................................................ 1,015,000 Ser. 02-2, Class AIO, IO, 8 1/2s, 2033 358,263 ........................................................................................................................ 3,889,573 Conseco Recreational Enthusiast Consumer Trust Ser. 01-A, Class APIO, IO, 5s, 2025 292,838 ........................................................................................................................ 383,000 Consumer Credit Reference IDX Securities Ser. 02-1A, Class A, FRB, 3.99s, 2007 383,838 ........................................................................................................................ 391,396 First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s, 2023 400,445 ........................................................................................................................ 1,480,000 Green Tree Financial Corp. Ser. 99-5, Class A5, 7.86s, 2029 1,550,540 ........................................................................................................................ 530,000 Home Equity Asset Trust Ser. 02-1, Class M2, 3.24s, 2032 527,433 ........................................................................................................................ 460,000 LNR CDO, Ltd. Ser. 02-1A, Class FFL, 4.589s, 2037 432,402 ........................................................................................................................ Madison Avenue Manufactured Housing Contract ........................................................................................................................ 338,443 Ser. 02-A, Class B1, FRN, 5.159s, 2032 253,832 ........................................................................................................................ 24,667,683 Ser. 02-A, IO, 0.3s, 2032 281,366 ........................................................................................................................ 182,353 Mid-State Trust Ser. 10, Class B, 7.54s, 2026 181,270 ........................................................................................................................ Morgan Stanley Dean Witter Capital I ........................................................................................................................ 89,000 Ser. 01-AM1, Class M2, FRN, 3.24s, 2032 89,000 ........................................................................................................................ 125,000 Ser. 01-NC3, Class B1, FRN, 4.29s, 2031 125,273 ........................................................................................................................ 490,000 Ser. 01-NC4, Class B1, FRN, 4.35s, 2032 491,072 ........................................................................................................................ 160,000 Ser. 02-AM2, Class B1, FRN, 4.21s, 2032 158,925 ........................................................................................................................ 500,000 Ser. 02-HE1, Class B1, 3.64s, 2013 491,500 ........................................................................................................................ 222,250 NC Finance Trust Ser. 02-1, 9 1/4s, 2032 220,740 ........................................................................................................................ 389,283 Option One Mortgage Securities Corp. Ser. 02-2A, Class CFTS, 8.83s, 2032 395,609 ........................................................................................................................ Pass-Through Amortizing Credit Card Trust ........................................................................................................................ 265,000 Ser. 02-1A, Class A3FL, 4.839s, 2012 265,000 ........................................................................................................................ 420,000 Ser. 02-1A, Class A4FL, 7.339s, 2012 420,000 ........................................................................................................................ 501,667 Xerox Equipment Lease Owner Trust 144A FRB Ser. 01-1, Class A, 3.84s, 2008 501,432 ------------------------------------------------------------------------------------------------------------------------ Total Asset-Backed Securities (cost $16,111,573) $16,099,756 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE PREFERRED STOCKS (0.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 5,270 Anthem, Inc. $6.00 cv. pfd $437,410 ........................................................................................................................ 30,700 Ford Motor Company Capital Trust II $3.25 cum. cv. pfd. 1,730,713 ........................................................................................................................ 15,000 General Motors Corp. $1.31 cv. pfd. 393,750 ........................................................................................................................ 22,200 Motorola, Inc. $7.00 cv, pfd. 1,007,325 ........................................................................................................................ 21,600 Travelers Property Casualty Corp. $1.125 cv. pfd. 499,176 ........................................................................................................................ 10,000 TXU Corp. $4.375 cv. pfd 542,500 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Preferred Stocks (cost $4,323,844) $4,610,874 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE BONDS AND NOTES (0.2%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $290,000 Freeport-McMoRan Copper & Gold, Inc. cv. sr. notes 8 1/4s, 2006 $435,363 ........................................................................................................................ 920,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 906,200 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Bonds and Notes (cost $1,382,053) $1,341,563 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (11.6%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $66,681,908 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) $66,681,907 ........................................................................................................................ 2,219,609 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) 2,218,260 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $68,900,167) $68,900,167 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $663,483,992) (b) $658,090,047 ------------------------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Unrealized Face Expiration Appreciation/ Market Value Value Date (Depreciation) .............................................................................. S&P 500 Index (Long) $21,287,150 $21,610,125 Sep-02 $(322,975) .............................................................................. U.S. Treasury Note 5 yr (Short) 18,154,297 17,935,563 Sep-02 (218,734) .............................................................................. 90 Day Euro (Long) 9,559,388 9,546,878 Sep-02 12,510 .............................................................................. U.S. Treasury Note 5 yr (Long) 5,908,204 5,796,421 Sep-02 111,783 ------------------------------------------------------------------------------ $(417,416) ------------------------------------------------------------------------------ TBA Sales Commitments at June 30, 2002 (Unaudited) (proceeds receivable $18,170,132) ------------------------------------------------------------------------------ Principal Settlement Agency Amount Date Value .............................................................................. FHLMC, 6s, July 1, 2032 $5,522,000 7/15/02 $5,509,907 .............................................................................. FNMA, 6 1/2s, July 1, 2032 12,135,000 7/15/02 12,370,176 .............................................................................. FNMA, 6s, July 1, 2032 278,000 7/15/02 277,305 ------------------------------------------------------------------------------ $18,157,388 ------------------------------------------------------------------------------ Written Options Outstanding at June 30, 2002 (Unaudited) (premium received $71,779) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amount Strike Price Value .............................................................................. 605,000 Texas Utilities (Put) Jun. 05/ 100 USD $33,880 .............................................................................. 22,600 Tyco International (Put) Jul. 02/ 15.00 USD 45,426 ------------------------------------------------------------------------------ $79,306 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Global Asset Allocation Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (57.7%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Advertising and Marketing Services (0.2%) ........................................................................................................................ 33,028 Havas Advertising SA (France) $203,172 ........................................................................................................................ 2,000 Interpublic Group Companies, Inc. 49,520 ........................................................................................................................ 3,100 Valassis Communications, Inc. (NON) 113,150 ........................................................................................................................ 91,478 WPP Group PLC (United Kingdom) 772,345 ------------------------------------------------------------------------------------------------------------------------ 1,138,187 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (0.8%) ........................................................................................................................ 13,500 AAR Corp. 137,700 ........................................................................................................................ 7,500 Aviall, Inc. (NON) 105,000 ........................................................................................................................ 62,920 BAE Systems PLC (United Kingdom) 321,232 ........................................................................................................................ 8,900 Boeing Co. (The) 400,500 ........................................................................................................................ 4,800 Engineered Support Systems, Inc. 251,040 ........................................................................................................................ 900 General Dynamics Corp. 95,715 ........................................................................................................................ 500 Goodrich Corp. 13,660 ........................................................................................................................ 200 L-3 Communications Holdings, Inc. (NON) 10,800 ........................................................................................................................ 21,100 Lockheed Martin Corp. 1,466,450 ........................................................................................................................ 10,521 Northrop Grumman Corp. 1,315,125 ........................................................................................................................ 5,100 Raytheon Co. 207,825 ........................................................................................................................ 1,600 Rockwell Collins, Inc. 43,872 ------------------------------------------------------------------------------------------------------------------------ 4,368,919 ------------------------------------------------------------------------------------------------------------------------ Agriculture (--%) ........................................................................................................................ 500 Monsanto Co. 8,900 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.1%) ........................................................................................................................ 700 AMR Corp. (NON) 11,802 ........................................................................................................................ 300 Continental Airlines, Inc. Class B (NON) 4,734 ........................................................................................................................ 300 Delta Air Lines, Inc. 6,000 ........................................................................................................................ 1,200 FedEx Corp. 64,080 ........................................................................................................................ 10,600 Mesa Air Group, Inc. (NON) 97,520 ........................................................................................................................ 23,500 Southwest Airlines Co. 379,760 ------------------------------------------------------------------------------------------------------------------------ 563,896 ------------------------------------------------------------------------------------------------------------------------ Automotive (1.2%) ........................................................................................................................ 600 Autoliv, Inc. 15,120 ........................................................................................................................ 24,762 Bayerische Motoren Werke (BMW) AG (Germany) 1,020,787 ........................................................................................................................ 4,400 CLARCOR, Inc. 139,260 ........................................................................................................................ 19,400 Collins & Aikman Corp. (NON) 176,540 ........................................................................................................................ 7,900 CSK Auto Corp. (NON) 110,126 ........................................................................................................................ 1,000 Dana Corp. 18,530 ........................................................................................................................ 12,700 Delphi Automotive Systems Corp. 167,640 ........................................................................................................................ 7,400 Dura Automotive Systems, Inc. (NON) 153,550 ........................................................................................................................ 7,600 Ford Motor Co. 121,600 ........................................................................................................................ 4,200 General Motors Corp. 224,490 ........................................................................................................................ 700 Genuine Parts Co. 24,409 ........................................................................................................................ 5,200 Group 1 Automotive, Inc. (NON) 198,380 ........................................................................................................................ 20,600 Honda Motor Co., Ltd. (Japan) 835,344 ........................................................................................................................ 1,200 Johnson Controls, Inc. 97,932 ........................................................................................................................ 500 Lear Corp. (NON) 23,125 ........................................................................................................................ 4,680 Peugeot SA (France) 242,835 ........................................................................................................................ 7,500 Sonic Automotive, Inc. (NON) 193,125 ........................................................................................................................ 28,800 Tower Automotive, Inc. (NON) 401,760 ........................................................................................................................ 88,600 Toyota Motor Corp. (Japan) 2,349,861 ------------------------------------------------------------------------------------------------------------------------ 6,514,414 ------------------------------------------------------------------------------------------------------------------------ Banking (6.2%) ........................................................................................................................ 26,442 Abbey National PLC (United Kingdom) 311,098 ........................................................................................................................ 45,181 Allied Irish Banks PLC (Ireland) 595,120 ........................................................................................................................ 6,700 AMCORE Financial, Inc. 155,239 ........................................................................................................................ 1,000 AmSouth Bancorporation 22,380 ........................................................................................................................ 400 Astoria Financial Corp. 12,820 ........................................................................................................................ 7,800 Banco Bradesco SA ADR (Brazil) 154,050 ........................................................................................................................ 5,700 Banco Itau SA ADR (Brazil) 159,600 ........................................................................................................................ 31,700 Bank of America Corp. 2,230,412 ........................................................................................................................ 17,100 Bank of Ireland (Ireland) 212,408 ........................................................................................................................ 31,600 Bank of New York Company, Inc. (The) 1,066,500 ........................................................................................................................ 5,200 Bank One Corp. 200,096 ........................................................................................................................ 29,900 BankAtlantic Bancorp, Inc. Class A 370,760 ........................................................................................................................ 3,700 Banknorth Group, Inc. 96,274 ........................................................................................................................ 22,200 Barclays PLC (United Kingdom) 186,757 ........................................................................................................................ 3,976 Bayerische Vereinsbank AG (Germany) 129,555 ........................................................................................................................ 7,800 BB&T Corp. 301,080 ........................................................................................................................ 19,396 BNP Paribas SA (France) 1,072,490 ........................................................................................................................ 17,900 Centennial Bancorp 141,052 ........................................................................................................................ 30,475 Charter One Financial, Inc. 1,047,731 ........................................................................................................................ 99,900 Citigroup, Inc. 3,871,125 ........................................................................................................................ 8,400 Citizens Banking Corp. 240,576 ........................................................................................................................ 23,000 Colonial Bancgroup Inc. 345,000 ........................................................................................................................ 19,105 Comerica, Inc. 1,173,047 ........................................................................................................................ 9,000 Community First Bankshares 234,810 ........................................................................................................................ 45,597 Danske Bank A/S (Denmark) 839,763 ........................................................................................................................ 34,001 DBS Group Holdings, Ltd. (Singapore) 238,685 ........................................................................................................................ 18,800 Doral Financial Corp. 627,732 ........................................................................................................................ 5,100 Downey Financial Corp. 241,230 ........................................................................................................................ 10,800 Fifth Third Bancorp 719,820 ........................................................................................................................ 5,400 First Midwest Bancorp, Inc. 150,012 ........................................................................................................................ 700 First Tennessee National Corp. 26,810 ........................................................................................................................ 9,700 FirstFed Financial Corp. (NON) 281,300 ........................................................................................................................ 11,200 Flagstar Bancorp, Inc. 258,720 ........................................................................................................................ 12,100 FleetBoston Financial Corp. 391,435 ........................................................................................................................ 500 Golden State Bancorp, Inc. 18,125 ........................................................................................................................ 300 Golden West Financial Corp. 20,634 ........................................................................................................................ 3,100 Greenpoint Financial Corp. 152,210 ........................................................................................................................ 14,800 Grupo Financiero BBVA bancomer SA de CV (Mexico) (NON) 12,105 ........................................................................................................................ 22,526 HSBC Holdings PLC (United Kingdom) 259,017 ........................................................................................................................ 30,200 Hudson United Bancorp 862,512 ........................................................................................................................ 300 Huntington Bancshares, Inc. 5,826 ........................................................................................................................ 7,100 Independent Bank Corp. -Massachusetts 162,519 ........................................................................................................................ 2,615 Independent Bank Corp. -Michigan 82,529 ........................................................................................................................ 1,100 Investors Financial Services Corp. 36,894 ........................................................................................................................ 17,400 Irwin Financial Corp. 349,740 ........................................................................................................................ 23,000 JPMorgan Chase & Co. 780,160 ........................................................................................................................ 3,500 Kookmin Bank ADR (South Korea) 172,025 ........................................................................................................................ 5,300 M&T Bank Corp. 454,528 ........................................................................................................................ 2,600 MAF Bancorp, Inc. 97,760 ........................................................................................................................ 2,700 Marshall & Ilsley Corp. 83,511 ........................................................................................................................ 18,100 Mellon Financial Corp. 568,883 ........................................................................................................................ 2,000 Mercantile Bankshares Corp. 82,060 ........................................................................................................................ 4,500 National City Corp. 149,625 ........................................................................................................................ 700 National Commerce Financial Corp. 18,410 ........................................................................................................................ 46,047 Nordea AB (Sweden) 250,607 ........................................................................................................................ 900 North Fork Bancorporation, Inc. 35,829 ........................................................................................................................ 200 Northern Trust Corp. 8,812 ........................................................................................................................ 59,000 Overseas-Chinese Banking Corp. (Singapore) 390,795 ........................................................................................................................ 1,500 PNC Financial Services Group 78,420 ........................................................................................................................ 1,200 Prosperity Bancshares, Inc. 22,200 ........................................................................................................................ 10,500 Provident Bankshares Corp. 248,745 ........................................................................................................................ 2,800 R&G Financial Corp. Class B 45,584 ........................................................................................................................ 400 Regions Financial Corp. 14,060 ........................................................................................................................ 24,200 Republic Bancorp, Inc. 361,548 ........................................................................................................................ 75,085 Sanpaolo IMI SpA (Italy) 753,252 ........................................................................................................................ 9,300 Sky Financial Group, Inc. 196,695 ........................................................................................................................ 13,933 Societe Generale (France) 917,622 ........................................................................................................................ 2,100 Sovereign Bancorp, Inc. 31,395 ........................................................................................................................ 1,200 State Street Corp. 53,640 ........................................................................................................................ 700 Sterling Bancorp 24,990 ........................................................................................................................ 20,700 Sterling Bancshares, Inc. 305,739 ........................................................................................................................ 700 SunTrust Banks, Inc. 47,404 ........................................................................................................................ 37,308 Svenska Handelsbanken AB Class A (Sweden) 570,558 ........................................................................................................................ 200 TCF Financial Corp. 9,820 ........................................................................................................................ 900 Texas Regional Bancshares, Inc. 43,794 ........................................................................................................................ 10,409 Toronto-Dominion Bank (Canada) 245,852 ........................................................................................................................ 13,200 Trustmark Corp. 337,260 ........................................................................................................................ 92,814 U.S. Bancorp 2,167,207 ........................................................................................................................ 2,700 UCBH Holdings, Inc. 102,627 ........................................................................................................................ 9,740 Unibanco-Uniao de Bancos Brasileiros SA GDR (Brazil) 160,710 ........................................................................................................................ 700 UnionBanCal Corp. 32,795 ........................................................................................................................ 35,000 United Overseas Bank, Ltd. (Singapore) 251,642 ........................................................................................................................ 28,500 Wachovia Corp. 1,088,130 ........................................................................................................................ 16,310 Washington Federal, Inc. 411,991 ........................................................................................................................ 24,400 Washington Mutual, Inc. 905,484 ........................................................................................................................ 11,100 Webster Financial Corp. 424,464 ........................................................................................................................ 18,500 Wells Fargo & Co. 926,110 ........................................................................................................................ 3,500 Westamerica Bancorporation 137,130 ........................................................................................................................ 300 Wilmington Trust Corp. 9,150 ........................................................................................................................ 3,500 Zions Bancorporation 182,350 ------------------------------------------------------------------------------------------------------------------------ 34,268,971 ------------------------------------------------------------------------------------------------------------------------ Beverage (1.1%) ........................................................................................................................ 15,400 Anheuser-Busch Companies, Inc. 770,000 ........................................................................................................................ 1,650 Brown-Forman Corp. Class B 113,850 ........................................................................................................................ 20,000 Coca-Cola Co. (The) 1,120,000 ........................................................................................................................ 18,100 Coca-Cola Enterprises, Inc. 399,648 ........................................................................................................................ 17,162 Companhia de Bebidas das Americas (AmBev) ADR (Brazil) 266,697 ........................................................................................................................ 51,150 Diageo PLC (United Kingdom) 664,156 ........................................................................................................................ 6,200 Fomento Economico Mexicano SA de CV ADR (Mexico) 243,164 ........................................................................................................................ 23,400 Pepsi Bottling Group, Inc. (The) 720,720 ........................................................................................................................ 26,000 PepsiCo, Inc. 1,253,200 ........................................................................................................................ 63,677 South African Breweries PLC (United Kingdom) 498,320 ........................................................................................................................ 21,600 South African Breweries PLC 144A (United Kingdom) 169,036 ------------------------------------------------------------------------------------------------------------------------ 6,218,791 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (0.7%) ........................................................................................................................ 2,470 Albany Molecular Research, Inc. (NON) 52,216 ........................................................................................................................ 34,300 Amgen, Inc. (NON) 1,436,484 ........................................................................................................................ 6,000 Applied Molecular Evolution, Inc. (NON) 34,680 ........................................................................................................................ 2,200 Avigen, Inc. (NON) 20,702 ........................................................................................................................ 500 Biogen, Inc. (NON) 20,715 ........................................................................................................................ 200 Celgene Corp. (NON) 3,060 ........................................................................................................................ 1,800 Chiron Corp. (NON) 63,630 ........................................................................................................................ 9,900 Connetics Corp. (NON) 127,898 ........................................................................................................................ 16,000 Corixa Corp. (NON) 109,600 ........................................................................................................................ 3,200 Entremed, Inc. (NON) 9,824 ........................................................................................................................ 1,900 Exact Sciences Corp. (NON) 30,343 ........................................................................................................................ 1,400 Genentech, Inc. (NON) 46,900 ........................................................................................................................ 2,140 Genta, Inc. (NON) 17,741 ........................................................................................................................ 1,200 Genzyme Corp. (NON) 23,088 ........................................................................................................................ 8,400 Guilford Pharmaceuticals, Inc. (NON) 63,336 ........................................................................................................................ 200 Human Genome Sciences, Inc. (NON) 2,680 ........................................................................................................................ 3,900 IDEC Pharmaceuticals Corp. (NON) 138,255 ........................................................................................................................ 2,700 IDEXX Laboratories, Inc. (NON) 69,633 ........................................................................................................................ 1,500 ILEX Oncology, Inc. (NON) 21,135 ........................................................................................................................ 11,500 InterMune, Inc. (NON) 242,650 ........................................................................................................................ 9,100 Invitrogen Corp. (NON) 291,291 ........................................................................................................................ 9,000 Isis Pharmaceuticals, Inc. (NON) 85,590 ........................................................................................................................ 10,625 Ligand Pharmaceuticals, Inc. Class B (NON) 154,063 ........................................................................................................................ 7,600 Maxygen, Inc. (NON) 93,100 ........................................................................................................................ 15,238 MedImmune, Inc. (NON) 402,283 ........................................................................................................................ 1,800 Molecular Devices Corp. (NON) 32,040 ........................................................................................................................ 4,670 Pharmacopeia, Inc. (NON) 39,784 ........................................................................................................................ 9,000 Pharmacyclics, Inc. (NON) 39,960 ........................................................................................................................ 6,100 Scios, Inc. (NON) 186,721 ........................................................................................................................ 17,100 Sequenom, Inc. (NON) 60,363 ........................................................................................................................ 8,800 Titan Pharmaceuticals, Inc. (NON) 29,480 ........................................................................................................................ 500 Waters Corp. (NON) 13,350 ------------------------------------------------------------------------------------------------------------------------ 3,962,595 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.8%) ........................................................................................................................ 11,900 British Sky Broadcasting PLC 144A (United Kingdom) (NON) 114,073 ........................................................................................................................ 13,900 Clear Channel Communications, Inc. (NON) 445,078 ........................................................................................................................ 200 Cox Radio, Inc. Class A (NON) 4,820 ........................................................................................................................ 27,400 Echostar Communications Corp. Class A (NON) 508,544 ........................................................................................................................ 50 Fuji Television Network, Inc. (Japan) 289,111 ........................................................................................................................ 200 Hispanic Broadcasting Corp. (NON) 5,220 ........................................................................................................................ 12,400 Mediaset SpA (Italy) 96,114 ........................................................................................................................ 38,938 News Corp., Ltd. (The) ADR (Australia) 892,848 ........................................................................................................................ 560 Nippon Television Network Corp. (Japan) 124,943 ........................................................................................................................ 12,854 Societe Television Francaise I (France) 344,081 ........................................................................................................................ 800 Univision Communications, Inc. Class A (NON) 25,120 ........................................................................................................................ 31,238 Viacom, Inc. Class B (NON) 1,386,030 ------------------------------------------------------------------------------------------------------------------------ 4,235,982 ------------------------------------------------------------------------------------------------------------------------ Building Materials (0.3%) ........................................................................................................................ 7,349 American Woodmark Corp. 412,499 ........................................................................................................................ 27,100 Apogee Enterprises, Inc. 389,156 ........................................................................................................................ 19,100 Lennox International, Inc. 343,609 ........................................................................................................................ 25,000 Matsushita Electric Works, Ltd. (Japan) 179,391 ........................................................................................................................ 500 Sherwin Williams Co. 14,965 ........................................................................................................................ 11,900 USG Corp. (NON) 85,085 ------------------------------------------------------------------------------------------------------------------------ 1,424,705 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.1%) ........................................................................................................................ 19,200 Charter Communications, Inc. Class A (NON) 78,336 ........................................................................................................................ 17,700 Comcast Corp. Class A (NON) 421,968 ........................................................................................................................ 7,545 Grupo Televisa SA de CV ADR (Mexico) (NON) 282,032 ------------------------------------------------------------------------------------------------------------------------ 782,336 ------------------------------------------------------------------------------------------------------------------------ Capital Goods (--%) ........................................................................................................................ 400 Eaton Corp. 29,100 ------------------------------------------------------------------------------------------------------------------------ Chemicals (1.0%) ........................................................................................................................ 1,300 3M Co. 159,900 ........................................................................................................................ 23,200 Airgas, Inc. (NON) 401,360 ........................................................................................................................ 13,502 Akzo-Nobel NV (Netherlands) 587,802 ........................................................................................................................ 4,500 Arch Chemicals, Inc. 111,150 ........................................................................................................................ 25,816 BASF AG (Germany) 1,196,789 ........................................................................................................................ 12,097 BOC Group PLC (United Kingdom) 187,861 ........................................................................................................................ 8,332 Ciba Specialty Chemicals AG (Switzerland) 667,826 ........................................................................................................................ 6,800 Dow Chemical Co. (The) 233,784 ........................................................................................................................ 9,000 E.I. du Pont de Nemours & Co. 399,600 ........................................................................................................................ 300 Eastman Chemical Co. 14,070 ........................................................................................................................ 16,800 Engelhard Corp. 475,776 ........................................................................................................................ 4,600 H.B. Fuller Co. 134,734 ........................................................................................................................ 500 Hercules, Inc. (NON) 5,800 ........................................................................................................................ 18,500 Omnova Solutions, Inc. (NON) 155,400 ........................................................................................................................ 18,000 PolyOne Corp. 202,500 ........................................................................................................................ 6,300 PPG Industries, Inc. 389,970 ........................................................................................................................ 3,300 Rohm & Haas Co. 133,617 ------------------------------------------------------------------------------------------------------------------------ 5,457,939 ------------------------------------------------------------------------------------------------------------------------ Coal (--%) ........................................................................................................................ 5,300 Peabody Energy Corp. 149,990 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (0.5%) ........................................................................................................................ 9,100 Actrade Financial Technologies, Ltd. (NON) 94,822 ........................................................................................................................ 18,700 American Greetings Corp. Class A 311,542 ........................................................................................................................ 4,400 Asatsu-DK, Inc. (Japan) 95,820 ........................................................................................................................ 4,500 Banta Corp. 161,550 ........................................................................................................................ 9,600 Bowne & Co. 141,504 ........................................................................................................................ 3,500 Central Garden & Pet Co. (NON) 61,355 ........................................................................................................................ 3,960 Coinstar, Inc. (NON) 96,822 ........................................................................................................................ 1,000 Deluxe Corp. 38,890 ........................................................................................................................ 300 eBay, Inc. (NON) 18,486 ........................................................................................................................ 4,000 Electro Rent Corp. (NON) 51,960 ........................................................................................................................ 600 H&R Block, Inc. 27,690 ........................................................................................................................ 5,900 John H. Harland Co. 166,380 ........................................................................................................................ 200 Macrovision Corp. (NON) 2,622 ........................................................................................................................ 300 Manpower, Inc. 11,025 ........................................................................................................................ 5,300 MPS Group, Inc. (NON) 45,050 ........................................................................................................................ 25,150 Right Managment Consultants (NON) 661,420 ........................................................................................................................ 700 Sabre Holdings Corp. (NON) 25,060 ........................................................................................................................ 15,170 Securitas AB Class B (Sweden) 312,082 ........................................................................................................................ 7,500 ServiceMaster Co. (The) 102,900 ........................................................................................................................ 2,100 Startek, Inc. (NON) 56,154 ........................................................................................................................ 6,400 TeleTech Holdings, Inc. (NON) 61,056 ------------------------------------------------------------------------------------------------------------------------ 2,544,190 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.5%) ........................................................................................................................ 21,100 Arris Group, Inc. (NON) 94,528 ........................................................................................................................ 1,900 Celeritek, Inc. (NON) 12,540 ........................................................................................................................ 112,900 Cisco Systems, Inc. (NON) 1,574,955 ........................................................................................................................ 600 Comverse Technology, Inc. (NON) 5,556 ........................................................................................................................ 13,500 Inter-Tel, Inc. 228,960 ........................................................................................................................ 4,900 InterDigital Communications Corp. (NON) 44,345 ........................................................................................................................ 10,300 Lucent Technologies, Inc. (NON) 17,098 ........................................................................................................................ 12,500 Nokia OYJ (Finland) 182,916 ........................................................................................................................ 14,997 QUALCOMM, Inc. (NON) 412,268 ........................................................................................................................ 500 Scientific-Atlanta, Inc. 8,225 ........................................................................................................................ 227,161 Telefonaktiebolaget LM Ericsson AB Class B (Sweden) (NON) 343,693 ........................................................................................................................ 41,200 Terayon Communications Systems, Inc. (NON) 54,796 ------------------------------------------------------------------------------------------------------------------------ 2,979,880 ------------------------------------------------------------------------------------------------------------------------ Computers (1.2%) ........................................................................................................................ 9,900 Anixter International, Inc. (NON) 232,650 ........................................................................................................................ 6,300 Avocent Corp. (NON) 100,296 ........................................................................................................................ 42,400 Dell Computer Corp. (NON) 1,108,336 ........................................................................................................................ 43,200 EMC Corp. (NON) 326,160 ........................................................................................................................ 200 Emulex Corp. (NON) 4,502 ........................................................................................................................ 800 Gateway, Inc. (NON) 3,552 ........................................................................................................................ 81,344 Hewlett-Packard Co. 1,242,936 ........................................................................................................................ 6,700 Hutchinson Technology, Inc. (NON) 104,788 ........................................................................................................................ 13,800 IBM Corp. 993,600 ........................................................................................................................ 32,400 Intertrust Technologies Corp. (NON) 97,524 ........................................................................................................................ 40,254 Iomega Corp. (NON) 517,264 ........................................................................................................................ 27,710 McAfee.com Corp. (NON) 405,674 ........................................................................................................................ 1,250 Mentor Graphics Corp. (NON) 17,775 ........................................................................................................................ 9,200 NCR Corp. (NON) 318,320 ........................................................................................................................ 13,200 Network Appliance, Inc. (NON) 164,208 ........................................................................................................................ 7,900 Perot Systems Corp. Class A (NON) 86,031 ........................................................................................................................ 10,800 QLogic Corp. (NON) 411,480 ........................................................................................................................ 3,500 Quantum Corp. (NON) 14,700 ........................................................................................................................ 5,900 Sun Microsystems, Inc. (NON) 29,559 ........................................................................................................................ 18,700 Take-Two Interactive Software, Inc. (NON) 385,033 ........................................................................................................................ 2,600 VeriSign, Inc. (NON) 18,694 ------------------------------------------------------------------------------------------------------------------------ 6,583,082 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (1.4%) ........................................................................................................................ 199 Berkshire Hathaway, Inc. Class B (NON) 444,566 ........................................................................................................................ 43,700 Brambles Industries, Ltd. (Australia) 231,552 ........................................................................................................................ 53,100 Brambles Industries PLC (United Kingdom) 265,634 ........................................................................................................................ 400 Computershare, Ltd. (Australia) 10,152 ........................................................................................................................ 13,400 Cooper Industries, Ltd. Class A 526,620 ........................................................................................................................ 140,351 General Electric Co. 4,077,197 ........................................................................................................................ 8,900 Honeywell International, Inc. 313,547 ........................................................................................................................ 98,206 Investor AB Class B (Sweden) 860,509 ........................................................................................................................ 800 Leggett & Platt, Inc. 18,720 ........................................................................................................................ 32,441 Smiths Group PLC (United Kingdom) 421,230 ........................................................................................................................ 1,300 Textron, Inc. 60,970 ........................................................................................................................ 25,000 Tyco International, Ltd. (Bermuda) 337,750 ........................................................................................................................ 12,800 Walter Industries, Inc. 170,880 ------------------------------------------------------------------------------------------------------------------------ 7,739,327 ------------------------------------------------------------------------------------------------------------------------ Construction (0.5%) ........................................................................................................................ 17,590 Cemex SA de CV ADR (Mexico) 463,672 ........................................................................................................................ 46,608 CRH PLC (Ireland) 780,052 ........................................................................................................................ 2,835 Holcim, Ltd. Class B (Switzerland) 650,728 ........................................................................................................................ 8,402 Lafarge (France) 837,910 ------------------------------------------------------------------------------------------------------------------------ 2,732,362 ------------------------------------------------------------------------------------------------------------------------ Consumer Cyclicals (0.6%) ........................................................................................................................ 300 Black & Decker Manufacturing Co. 14,460 ........................................................................................................................ 35,179 Cie Financier Richemont AG (Switzerland) 800,383 ........................................................................................................................ 7,633 Gucci Group NV ADR (Netherlands) 722,158 ........................................................................................................................ 21,400 Sony Corp. (Japan) 1,130,263 ........................................................................................................................ 7,679 Swatch Group AG (The) (Switzerland) 145,291 ........................................................................................................................ 3,210 Swatch Group AG (The) Class B (Switzerland) 285,875 ------------------------------------------------------------------------------------------------------------------------ 3,098,430 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.4%) ........................................................................................................................ 4,700 Acom Co., Ltd. (Japan) 321,176 ........................................................................................................................ 100 AmeriCredit Corp. (NON) 2,805 ........................................................................................................................ 2,100 Capital One Financial Corp. 128,205 ........................................................................................................................ 1,700 Countrywide Credit Industries, Inc. 82,025 ........................................................................................................................ 200 Dun & Bradstreet Corp. (NON) 6,610 ........................................................................................................................ 17,200 Household International, Inc. 854,840 ........................................................................................................................ 25,300 MBNA Corp. 836,671 ........................................................................................................................ 15,700 Metris Companies, Inc. 130,467 ........................................................................................................................ 7,300 Providian Financial Corp. 42,924 ------------------------------------------------------------------------------------------------------------------------ 2,405,723 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (0.9%) ........................................................................................................................ 600 Avon Products, Inc. 31,344 ........................................................................................................................ 7,700 Church & Dwight Co., Inc. 241,241 ........................................................................................................................ 600 Clorox Co. 24,810 ........................................................................................................................ 19,000 Colgate-Palmolive Co. 950,950 ........................................................................................................................ 21,140 Dial Corp. (The) 423,223 ........................................................................................................................ 4,400 Elizabeth Arden, Inc. (NON) 77,000 ........................................................................................................................ 20,400 Fortune Brands, Inc. 1,142,400 ........................................................................................................................ 3,300 Gillette Co. (The) 111,771 ........................................................................................................................ 1,000 International Flavors & Fragrances, Inc. 32,490 ........................................................................................................................ 21,000 KAO Corp. (Japan) 483,605 ........................................................................................................................ 13,000 Kimberly-Clark Corp. 806,000 ........................................................................................................................ 4,500 Newell Rubbermaid, Inc. 157,770 ........................................................................................................................ 4,700 Procter & Gamble Co. 419,710 ------------------------------------------------------------------------------------------------------------------------ 4,902,314 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.2%) ........................................................................................................................ 8,800 CDI Corp. (NON) 286,440 ........................................................................................................................ 29,650 Deutsche Post AG (Germany) 376,202 ........................................................................................................................ 5,000 Deutsche Post AG 144A (Germany) 63,440 ........................................................................................................................ 2,920 Freemarkets, Inc. (NON) 41,260 ........................................................................................................................ 1,000 Hotels.com Class A (NON) 42,230 ........................................................................................................................ 21,460 Register.com (NON) 163,525 ------------------------------------------------------------------------------------------------------------------------ 973,097 ------------------------------------------------------------------------------------------------------------------------ Consumer Staples (0.1%) ........................................................................................................................ 18,000 Fuji Photo Film Companies, Ltd. (Japan) 581,227 ------------------------------------------------------------------------------------------------------------------------ Distribution (0.1%) ........................................................................................................................ 9,650 Performance Food Group Co. (NON) 326,749 ........................................................................................................................ 3,600 SYSCO Corp. 97,992 ------------------------------------------------------------------------------------------------------------------------ 424,741 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (1.5%) ........................................................................................................................ 300 American Electric Power Company, Inc. 12,006 ........................................................................................................................ 3,775 Aquila, Inc. 30,200 ........................................................................................................................ 4,400 Black Hills Corp. 152,284 ........................................................................................................................ 11,500 Cinergy Corp. 413,885 ........................................................................................................................ 1,200 Consolidated Edison, Inc. 50,100 ........................................................................................................................ 4,700 Constellation Energy Group, Inc. 137,898 ........................................................................................................................ 4,200 Dominion Resources, Inc. 278,040 ........................................................................................................................ 19,900 DPL, Inc. 526,355 ........................................................................................................................ 1,500 DTE Energy Co. 66,960 ........................................................................................................................ 10,700 Duke Energy Corp. 332,770 ........................................................................................................................ 12,200 Edison International (NON) 207,400 ........................................................................................................................ 14,600 Entergy Corp. 619,624 ........................................................................................................................ 1,300 Exelon Corp. 67,990 ........................................................................................................................ 5,500 FirstEnergy Corp. 183,590 ........................................................................................................................ 2,800 FPL Group, Inc. 167,972 ........................................................................................................................ 108,500 Hong Kong Electric Holdings, Ltd. (Hong Kong) 405,489 ........................................................................................................................ 33,400 Iberdrola SA (Spain) 486,443 ........................................................................................................................ 34,380 Korea Electric Power Corp. (South Korea) 629,775 ........................................................................................................................ 11,900 Northeast Utilities 223,839 ........................................................................................................................ 12,900 Northwestern Corp. 218,655 ........................................................................................................................ 200 NSTAR 8,956 ........................................................................................................................ 8,900 PG&E Corp. (NON) 159,221 ........................................................................................................................ 1,500 Pinnacle West Capital Corp. 59,250 ........................................................................................................................ 18,000 PNM Resources, Inc. 435,600 ........................................................................................................................ 200 Potomac Electric Power Co. 4,296 ........................................................................................................................ 4,800 PPL Corp. 158,784 ........................................................................................................................ 15,100 Progress Energy, Inc. 785,351 ........................................................................................................................ 1,100 Public Service Enterprise Group, Inc. 47,630 ........................................................................................................................ 300 Puget Energy, Inc. 6,195 ........................................................................................................................ 19,900 Reliant Energy, Inc. 336,310 ........................................................................................................................ 108,234 Scottish Power PLC (United Kingdom) 581,856 ........................................................................................................................ 28,800 Sierra Pacific Resources 224,640 ........................................................................................................................ 1,400 TXU Corp. 72,170 ........................................................................................................................ 8,600 UniSource Energy Corp. 159,960 ........................................................................................................................ 300 Wisconsin Energy Corp. 7,581 ........................................................................................................................ 800 XCEL Energy, Inc. 13,416 ------------------------------------------------------------------------------------------------------------------------ 8,272,491 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (0.2%) ........................................................................................................................ 62,320 ABB, Ltd. (Switzerland) (NON) 555,007 ........................................................................................................................ 8,100 BE Aerospace, Inc. (NON) 106,758 ........................................................................................................................ 6,900 Emerson Electric Co. 369,219 ........................................................................................................................ 10,100 Lincoln Electric Holdings, Inc. 271,690 ........................................................................................................................ 1,000 Rockwell International Corp. 19,980 ------------------------------------------------------------------------------------------------------------------------ 1,322,654 ------------------------------------------------------------------------------------------------------------------------ Electronics (2.3%) ........................................................................................................................ 2,763 Agere Systems, Inc. Class B (NON) 4,145 ........................................................................................................................ 4,400 Agilent Technologies, Inc. (NON) 104,060 ........................................................................................................................ 700 American Power Conversion Corp. (NON) 8,841 ........................................................................................................................ 1,300 Analog Devices, Inc. (NON) 38,610 ........................................................................................................................ 1,400 Applied Micro Circuits Corp. (NON) 6,622 ........................................................................................................................ 3,800 Arrow Electronics, Inc. (NON) 78,850 ........................................................................................................................ 3,600 Artisan Components, Inc. (NON) 32,400 ........................................................................................................................ 3,700 Atmel Corp. (NON) 23,162 ........................................................................................................................ 1,900 Avnet, Inc. 41,781 ........................................................................................................................ 4,700 AXT, Inc. (NON) 37,506 ........................................................................................................................ 29,700 Benchmark Electronics, Inc. (NON) 861,300 ........................................................................................................................ 16,900 Broadcom Corp. Class A (NON) 296,426 ........................................................................................................................ 1,772 Brooks-PRI Automation, Inc. (NON) 45,292 ........................................................................................................................ 11,800 Celestica, Inc. (Canada) (NON) 267,978 ........................................................................................................................ 15,200 Centillium Communications, Inc. (NON) 132,544 ........................................................................................................................ 2,700 Cypress Semiconductor Corp. (NON) 40,986 ........................................................................................................................ 4,800 Ducommun, Inc. (NON) 125,952 ........................................................................................................................ 22,600 ESS Technology (NON) 396,404 ........................................................................................................................ 9,400 Exar Corp. (NON) 185,368 ........................................................................................................................ 33,000 General Cable Corp. 207,900 ........................................................................................................................ 2,670 Genesis Microchip, Inc. (NON) 22,268 ........................................................................................................................ 12,600 Integrated Device Technology, Inc. (NON) 228,564 ........................................................................................................................ 127,900 Intel Corp. 2,336,733 ........................................................................................................................ 10,392 Intersil Corp. Class A (NON) 222,181 ........................................................................................................................ 13,600 Itron, Inc. (NON) 356,728 ........................................................................................................................ 15,600 Linear Technology Corp. 490,308 ........................................................................................................................ 2,300 LSI Logic Corp. (NON) 20,125 ........................................................................................................................ 18,500 Marvell Technology Group, Ltd. (Bermuda) (NON) 367,965 ........................................................................................................................ 13,600 Maxim Integrated Products, Inc. (NON) 521,288 ........................................................................................................................ 200 Measurement Specialties, Inc. (NON) 600 ........................................................................................................................ 1,100 Microchip Technology, Inc. (NON) 30,173 ........................................................................................................................ 14,050 Micron Technology, Inc. (NON) 284,091 ........................................................................................................................ 8,200 MIPS Technologies, Inc. (NON) 50,594 ........................................................................................................................ 300 Molex, Inc. 10,059 ........................................................................................................................ 11,100 Motorola, Inc. 160,062 ........................................................................................................................ 800 National Semiconductor Corp. (NON) 23,336 ........................................................................................................................ 17,165 Oak Technology, Inc. (NON) 77,757 ........................................................................................................................ 15,500 Pioneer-Standard Electronics, Inc. 161,045 ........................................................................................................................ 3,400 PMC - Sierra, Inc. (NON) 31,518 ........................................................................................................................ 8,700 Rambus, Inc. (NON) 35,583 ........................................................................................................................ 1,000 RF Micro Devices, Inc. (NON) 7,620 ........................................................................................................................ 1,700 Rohm Co., Ltd. (Japan) 253,759 ........................................................................................................................ 10,711 Samsung Electronics Co., Ltd. (South Korea) 2,934,154 ........................................................................................................................ 1,180 Sanmina Corp. (NON) 7,446 ........................................................................................................................ 6,600 Silicon Laboratories, Inc. (NON) 184,734 ........................................................................................................................ 16,800 Skyworks Solutions, Inc. (NON) 93,240 ........................................................................................................................ 13,800 Storage Technology Corp. (NON) 220,386 ........................................................................................................................ 21,800 Symmetricom, Inc. (NON) 79,570 ........................................................................................................................ 4,000 Texas Instruments, Inc. 94,800 ........................................................................................................................ 500 Thermo Electron Corp. (NON) 8,250 ........................................................................................................................ 4,300 Trimble Navigation, Ltd. (NON) 66,650 ........................................................................................................................ 129,000 United Microelectronics Corp. (Taiwan) (NON) 155,063 ........................................................................................................................ 1,600 Varian Semiconductor Equipment (NON) 54,288 ........................................................................................................................ 700 Vishay Intertechnology, Inc. (NON) 15,400 ........................................................................................................................ 5,500 W.W. Grainger, Inc. 275,550 ------------------------------------------------------------------------------------------------------------------------ 12,818,015 ------------------------------------------------------------------------------------------------------------------------ Energy (0.3%) ........................................................................................................................ 2,300 Baker Hughes, Inc. 76,567 ........................................................................................................................ 12,300 BJ Services Co. (NON) 416,724 ........................................................................................................................ 500 ENSCO International, Inc. 13,630 ........................................................................................................................ 10,800 GlobalSantaFe Corp. 295,380 ........................................................................................................................ 4,300 GulfMark Offshore, Inc. (NON) 178,063 ........................................................................................................................ 1,800 Halliburton Co. 28,692 ........................................................................................................................ 8,700 Holly Corp. 145,725 ........................................................................................................................ 300 Nabor Industries, Ltd. (Barbados) (NON) 10,590 ........................................................................................................................ 4,900 NATCO Group, Inc. (NON) 42,630 ........................................................................................................................ 11,700 Rowan Companies, Inc. 250,965 ........................................................................................................................ 200 Smith International, Inc. (NON) 13,638 ........................................................................................................................ 40,300 USEC, Inc. 354,640 ........................................................................................................................ 10,300 Veritas DGC, Inc. (NON) 129,780 ------------------------------------------------------------------------------------------------------------------------ 1,957,024 ------------------------------------------------------------------------------------------------------------------------ Engineering & Construction (0.2%) ........................................................................................................................ 4,470 Ameron International Corp. 322,958 ........................................................................................................................ 25,999 Bouygues SA (France) 726,244 ........................................................................................................................ 3,800 EMCOR Group, Inc. (NON) 223,060 ........................................................................................................................ 400 Fluor Corp. 15,580 ........................................................................................................................ 2,900 MasTec, Inc. (NON) 21,344 ------------------------------------------------------------------------------------------------------------------------ 1,309,186 ------------------------------------------------------------------------------------------------------------------------ Entertainment (--%) ........................................................................................................................ 13,500 AMC Entertainment, Inc. (NON) 191,700 ........................................................................................................................ 300 International Speedway Corp. Class A 12,030 ........................................................................................................................ 300 Pixar, Inc. (NON) 13,230 ------------------------------------------------------------------------------------------------------------------------ 216,960 ------------------------------------------------------------------------------------------------------------------------ Environmental (0.1%) ........................................................................................................................ 18,800 Tetra Technologies, Inc. (NON) 499,140 ------------------------------------------------------------------------------------------------------------------------ Financial (1.0%) ........................................................................................................................ 3,100 American Express Co. 112,592 ........................................................................................................................ 16,000 Annaly Mortgage Mgmt., Inc. 310,400 ........................................................................................................................ 29,000 Anthracite Capital, Inc. 384,250 ........................................................................................................................ 238,820 Contifinancial Corp. Liquidating Trust Units (NON) 11,344 ........................................................................................................................ 12,582 Dexia (Belgium) 193,930 ........................................................................................................................ 14,700 Fannie Mae 1,084,125 ........................................................................................................................ 23,800 Freddie Mac 1,456,560 ........................................................................................................................ 700 Gabelli Asset Management, Inc. (NON) 25,550 ........................................................................................................................ 700 MGIC Investment Corp. 47,460 ........................................................................................................................ 400 Moody's Corp. 19,900 ........................................................................................................................ 32,700 New Century Financial Corp. 1,143,519 ........................................................................................................................ 9,600 New Century Financial Corp. (Private) 335,712 ........................................................................................................................ 4,600 Orix Corp. (Japan) 371,147 ........................................................................................................................ 500 SLM Corp. 48,450 ........................................................................................................................ 1,700 St. Paul Companies, Inc. (The) 66,164 ------------------------------------------------------------------------------------------------------------------------ 5,611,103 ------------------------------------------------------------------------------------------------------------------------ Food (1.0%) ........................................................................................................................ 5,500 7-Eleven, Inc. (NON) 44,275 ........................................................................................................................ 3,715 Archer Daniels Midland Co. 47,515 ........................................................................................................................ 796 Aurora Foods, Inc. (NON) 1,194 ........................................................................................................................ 64,800 Cadbury Schweppes PLC (United Kingdom) 485,382 ........................................................................................................................ 400 Campbell Soup Co. 11,064 ........................................................................................................................ 85,122 Compass Group PLC (United Kingdom) 516,309 ........................................................................................................................ 700 ConAgra, Inc. 19,355 ........................................................................................................................ 11,000 Dole Food Co. 317,350 ........................................................................................................................ 5,900 General Mills, Inc. 260,072 ........................................................................................................................ 2,253 Groupe Danone (France) 309,666 ........................................................................................................................ 10,450 H.J. Heinz Co. 429,495 ........................................................................................................................ 500 Hershey Foods Corp. 31,250 ........................................................................................................................ 4,300 International Multifoods Corp. 111,800 ........................................................................................................................ 19,000 Interstate Bakeries Corp. 548,720 ........................................................................................................................ 96 JM Smucker Co. (The) 3,276 ........................................................................................................................ 500 Kellogg Co. 17,930 ........................................................................................................................ 12,800 Kraft Foods, Inc. Class A 524,160 ........................................................................................................................ 1,400 McCormick & Company, Inc. 36,050 ........................................................................................................................ 7,755 Nestle SA (Switzerland) 1,808,701 ........................................................................................................................ 5,500 Sanderson Farms, Inc. 137,555 ........................................................................................................................ 4,100 Sara Lee Corp. 84,624 ........................................................................................................................ 3,659 Tyson Foods, Inc. Class A 56,751 ------------------------------------------------------------------------------------------------------------------------ 5,802,494 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.6%) ........................................................................................................................ 16,000 Ameristar Casinos, Inc. (NON) 464,960 ........................................................................................................................ 9,530 Argosy Gaming Co. (NON) 270,652 ........................................................................................................................ 11,600 Aztar Corp. (NON) 241,280 ........................................................................................................................ 16,100 Boyd Gaming Corp. (NON) 231,840 ........................................................................................................................ 42,900 GTECH Holdings Corp. (NON) 1,095,666 ........................................................................................................................ 800 Harrah's Entertainment, Inc. (NON) 35,480 ........................................................................................................................ 9,100 International Game Technology (NON) 515,970 ........................................................................................................................ 5,700 Isle of Capri Casinos, Inc. (NON) 115,425 ........................................................................................................................ 500 MGM Mirage, Inc. (NON) 16,875 ........................................................................................................................ 6,400 Penn National Gaming, Inc. (NON) 116,160 ........................................................................................................................ 10,200 Pinnacle Entertainment, Inc. (NON) 108,426 ------------------------------------------------------------------------------------------------------------------------ 3,212,734 ------------------------------------------------------------------------------------------------------------------------ Health Care (0.3%) ........................................................................................................................ 28,516 HCA, Inc. 1,354,510 ........................................................................................................................ 1,200 Healthsouth Corp. (NON) 15,348 ........................................................................................................................ 60,000 Paracelsus Healthcare Corp. (NON) 6 ........................................................................................................................ 1,900 Tenet Healthcare Corp. (NON) 135,945 ------------------------------------------------------------------------------------------------------------------------ 1,505,809 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (1.7%) ........................................................................................................................ 10,100 aaiPharma, Inc. (NON) 227,048 ........................................................................................................................ 3,466 Accredo Health, Inc. (NON) 159,900 ........................................................................................................................ 7,000 American Medical Security Group, Inc. (NON) 167,650 ........................................................................................................................ 4,800 Anthem, Inc. (NON) 323,904 ........................................................................................................................ 17,460 Apria Healthcare Group, Inc. (NON) 391,104 ........................................................................................................................ 37,200 Beverly Enterprises, Inc. (NON) 283,092 ........................................................................................................................ 7,050 Cardinal Health, Inc. 432,941 ........................................................................................................................ 4,070 Caremark Rx, Inc. (NON) 67,155 ........................................................................................................................ 8,250 CIGNA Corp. 803,715 ........................................................................................................................ 14,600 Cobalt Corp. 332,880 ........................................................................................................................ 13,100 DaVita, Inc. (NON) 311,780 ........................................................................................................................ 750 Express Scripts, Inc. Class A (NON) 37,583 ........................................................................................................................ 15,400 Fisher Scientific International, Inc. (NON) 431,200 ........................................................................................................................ 673 Genesis Health Ventures, Inc. (NON) 13,521 ........................................................................................................................ 18,000 Gentiva Health Services, Inc. 161,820 ........................................................................................................................ 18,100 Health Management Assoc., Inc. (NON) 364,715 ........................................................................................................................ 700 Health Net, Inc. (NON) 18,739 ........................................................................................................................ 1,400 IMS Health, Inc. 25,130 ........................................................................................................................ 13,000 Laboratory Corporation of America Holdings (NON) 593,450 ........................................................................................................................ 1,000 McKesson Corp. 32,700 ........................................................................................................................ 21,970 Mid Atlantic Medical Services, Inc. (NON) 688,760 ........................................................................................................................ 5,900 Oxford Health Plans, Inc. (NON) 274,114 ........................................................................................................................ 9,400 Per-Se Technologies, Inc. (NON) 86,471 ........................................................................................................................ 7,875 Pharmaceutical Product Development, Inc. (NON) 207,428 ........................................................................................................................ 9,000 Prime Medical Services, Inc. (NON) 104,580 ........................................................................................................................ 29,900 PSS World Medical, Inc. (NON) 242,190 ........................................................................................................................ 500 Quintiles Transnational Corp. (NON) 6,245 ........................................................................................................................ 10,400 Select Medical Corp. (NON) 162,864 ........................................................................................................................ 9,100 Sierra Health Services, Inc. (NON) 203,385 ........................................................................................................................ 14,500 Specialty Laboratories, Inc. (NON) 121,800 ........................................................................................................................ 4,600 Trigon Healthcare, Inc. (NON) 462,668 ........................................................................................................................ 12,200 UnitedHealth Group, Inc. 1,116,910 ........................................................................................................................ 23,000 US Oncology, Inc. (NON) 191,590 ........................................................................................................................ 7,300 Wellpoint Health Networks, Inc. (NON) 568,013 ------------------------------------------------------------------------------------------------------------------------ 9,617,045 ------------------------------------------------------------------------------------------------------------------------ Homebuilding (0.2%) ........................................................................................................................ 15,300 Champion Enterprises, Inc. (NON) 85,986 ........................................................................................................................ 45,000 Fleetwood Enterprises, Inc. (NON) 391,500 ........................................................................................................................ 1,110 NVR, Inc. (NON) 358,530 ........................................................................................................................ 1,200 Ryland Group, Inc. 59,700 ------------------------------------------------------------------------------------------------------------------------ 895,716 ------------------------------------------------------------------------------------------------------------------------ Household Furniture and Appliances (0.1%) ........................................................................................................................ 13,900 Applica, Inc. (NON) 172,360 ........................................................................................................................ 300 Maytag Corp. 12,795 ........................................................................................................................ 17,600 U.S. Industries, Inc. (NON) 60,720 ........................................................................................................................ 900 Whirlpool Corp. 58,824 ------------------------------------------------------------------------------------------------------------------------ 304,699 ------------------------------------------------------------------------------------------------------------------------ Insurance (2.6%) ........................................................................................................................ 25,600 ACE, Ltd. (Bermuda) 808,960 ........................................................................................................................ 2,300 AFLAC, Inc. 73,600 ........................................................................................................................ 3,759 Allianz AG (Germany) 752,720 ........................................................................................................................ 4,500 AMBAC Financial Group, Inc. 302,400 ........................................................................................................................ 100 American Financial Group, Inc. 2,390 ........................................................................................................................ 38,348 American International Group, Inc. 2,616,484 ........................................................................................................................ 100 American National Insurance Co. 9,630 ........................................................................................................................ 7,500 AmerUs Group Co. 278,250 ........................................................................................................................ 700 AON Corp. 20,636 ........................................................................................................................ 1,700 Chubb Corp. (The) 120,360 ........................................................................................................................ 6,800 Commerce Group, Inc. 268,940 ........................................................................................................................ 700 Erie Indemnity Co. Class A 28,357 ........................................................................................................................ 4,100 FBL Financial Group, Inc. Class A 90,815 ........................................................................................................................ 11,300 Fidelity National Financial, Inc. 357,080 ........................................................................................................................ 6,000 First American Corp. 138,000 ........................................................................................................................ 100 Gallagher, Arthur J. & Co. 3,465 ........................................................................................................................ 5,800 Hartford Financial Services Group, Inc. (The) 344,926 ........................................................................................................................ 11,200 Hilb, Rogal & Hamilton Co. 506,800 ........................................................................................................................ 116,729 ING Groep NV (Netherlands) 2,996,714 ........................................................................................................................ 950 Jefferson-Pilot Corp. 44,650 ........................................................................................................................ 600 Lincoln National Corp. 25,200 ........................................................................................................................ 900 Loews Corp. 47,691 ........................................................................................................................ 800 Loews Corp. - Carolina Group 21,640 ........................................................................................................................ 3,100 MBIA, Inc. 175,243 ........................................................................................................................ 700 Metlife, Inc. 20,160 ........................................................................................................................ 7,780 Muenchener Rueckversicherungs- Gesellschaft AG (Germany) 1,839,832 ........................................................................................................................ 8,900 PMI Group, Inc. (The) 339,980 ........................................................................................................................ 14,200 Radian Group, Inc. 693,670 ........................................................................................................................ 5,400 Stewart Information Services (NON) 110,970 ........................................................................................................................ 32,004 Sun Life Financial Services of Canada, Inc. (Canada) 692,775 ........................................................................................................................ 400 Torchmark Corp. 15,280 ........................................................................................................................ 4,900 UnumProvident Corp. 124,705 ........................................................................................................................ 9,900 XL Capital, Ltd. Class A (Bermuda) 838,530 ------------------------------------------------------------------------------------------------------------------------ 14,710,853 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.8%) ........................................................................................................................ 300 Bear Stearns Companies, Inc. (The) 18,360 ........................................................................................................................ 12,070 BlackRock, Inc. (NON) 534,701 ........................................................................................................................ 3,600 Charles Schwab Corp. (The) 40,320 ........................................................................................................................ 500 Federated Investors, Inc. 17,285 ........................................................................................................................ 6,500 Goldman Sachs Group, Inc. (The) 476,775 ........................................................................................................................ 300 Investment Technology Group, Inc. (NON) 9,810 ........................................................................................................................ 1,409 Julius Baer Holdings, Ltd. AG Class B (Switzerland) 404,858 ........................................................................................................................ 200 Legg Mason, Inc. 9,868 ........................................................................................................................ 6,600 Lehman Brothers Holdings, Inc. 412,632 ........................................................................................................................ 29,400 Merrill Lynch & Company, Inc. 1,190,700 ........................................................................................................................ 17,600 Morgan Stanley Dean Witter & Co. 758,208 ........................................................................................................................ 97,000 Nikko Securities Co., Ltd. (Japan) 489,654 ........................................................................................................................ 600 SEI Investments Co. 16,902 ........................................................................................................................ 1,000 Stilwell Financial, Inc. 18,200 ........................................................................................................................ 1,350 Student Loan Corp. 111,834 ........................................................................................................................ 300 T Rowe Price Group, Inc. 9,864 ........................................................................................................................ 2,590 UBS AG (Switzerland) 130,301 ........................................................................................................................ 4,041 VS Holdings, Inc. (NON) 5,051 ------------------------------------------------------------------------------------------------------------------------ 4,655,323 ------------------------------------------------------------------------------------------------------------------------ Leisure (0.2%) ........................................................................................................................ 300 Brunswick Corp. 8,400 ........................................................................................................................ 10,200 Harley-Davidson, Inc. 522,954 ........................................................................................................................ 5,200 Johnson Outdoors, Inc. Class A (NON) 87,516 ........................................................................................................................ 2,900 Thor Industries, Inc. 206,654 ........................................................................................................................ 8,400 Winnebago Industries, Inc. 369,600 ------------------------------------------------------------------------------------------------------------------------ 1,195,124 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.3%) ........................................................................................................................ 10,132 Accor SA (France) 410,878 ........................................................................................................................ 24,300 Cendant Corp. (NON) 385,884 ........................................................................................................................ 7,500 Choice Hotels International, Inc. (NON) 150,075 ........................................................................................................................ 55,100 Hilton Group PLC (United Kingdom) 191,667 ........................................................................................................................ 1,800 Host Marriott Corp. 20,340 ........................................................................................................................ 6,100 Marriott International, Inc. Class A 232,105 ........................................................................................................................ 7,700 Royal Caribbean Cruises, Ltd. 150,150 ........................................................................................................................ 6,800 Scientific Games Corp. Class A (NON) 53,992 ........................................................................................................................ 1,000 Starwood Hotels & Resorts Worldwide, Inc. 32,890 ------------------------------------------------------------------------------------------------------------------------ 1,627,981 ------------------------------------------------------------------------------------------------------------------------ Machinery (0.3%) ........................................................................................................................ 5,100 Applied Industrial Technologies, Inc. 99,450 ........................................................................................................................ 700 Caterpillar, Inc. 34,265 ........................................................................................................................ 6,400 Gardner Denver, Inc. (NON) 128,000 ........................................................................................................................ 6,900 Ingersoll-Rand Co. Class A (Bermuda) 315,054 ........................................................................................................................ 1,450 NACCO Industries, Inc. Class A 84,245 ........................................................................................................................ 8,600 Parker-Hannifin Corp. 410,994 ........................................................................................................................ 3,200 Presstek, Inc. (NON) 12,800 ........................................................................................................................ 18,184 Sandvik AB (Sweden) 454,249 ........................................................................................................................ 2,800 Tecumseh Products Co. Class A 148,624 ------------------------------------------------------------------------------------------------------------------------ 1,687,681 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (0.1%) ........................................................................................................................ 300 Diebold, Inc. 11,172 ........................................................................................................................ 1,200 Dover Corp. 42,000 ........................................................................................................................ 120 EnPro Industries, Inc. (NON) 630 ........................................................................................................................ 16,500 Griffon Corp. (NON) 298,650 ........................................................................................................................ 1,000 Illinois Tool Works, Inc. 68,300 ........................................................................................................................ 8,100 Kaman Corp. 135,756 ........................................................................................................................ 500 Pentair, Inc. 24,040 ........................................................................................................................ 5,500 Shaw Group, Inc. (NON) 168,850 ........................................................................................................................ 2,000 Tennant Co. 79,200 ------------------------------------------------------------------------------------------------------------------------ 828,598 ------------------------------------------------------------------------------------------------------------------------ Media (0.5%) ........................................................................................................................ 28,900 AOL Time Warner, Inc. (NON) 425,119 ........................................................................................................................ 21,100 Fox Entertainment Group, Inc. Class A (NON) 458,925 ........................................................................................................................ 66,800 Liberty Media Corp. Class A (NON) 668,000 ........................................................................................................................ 20,000 USA Networks, Inc. (NON) 469,000 ........................................................................................................................ 41,200 Walt Disney Co. (The) 778,680 ------------------------------------------------------------------------------------------------------------------------ 2,799,724 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (1.0%) ........................................................................................................................ 2,900 Abiomed, Inc. (NON) 24,589 ........................................................................................................................ 600 Apogent Technologies, Inc. (NON) 12,342 ........................................................................................................................ 15,600 Baxter International, Inc. 693,420 ........................................................................................................................ 300 Beckman Coulter, Inc. 14,970 ........................................................................................................................ 1,200 Becton, Dickinson and Co. 41,340 ........................................................................................................................ 7,600 Bio-Rad Laboratories, Inc. Class A (NON) 345,876 ........................................................................................................................ 4,245 Biosite Diagnostics, Inc. (NON) 119,497 ........................................................................................................................ 300 C.R. Bard, Inc. 16,974 ........................................................................................................................ 2,600 Closure Medical Corp. (NON) 36,400 ........................................................................................................................ 21,200 Cyberonics, Inc. (NON) 278,123 ........................................................................................................................ 600 Cytyc Corp. (NON) 4,572 ........................................................................................................................ 450 DENTSPLY International, Inc. 16,610 ........................................................................................................................ 5,560 Diagnostic Products Corp. 205,720 ........................................................................................................................ 5,100 Digene Corp. (NON) 59,985 ........................................................................................................................ 5,600 Inamed Corp. (NON) 151,592 ........................................................................................................................ 6,736 Intermagnetics General Corp. (NON) 136,067 ........................................................................................................................ 1,140 Inverness Medical Innovations, Inc. (NON) 23,028 ........................................................................................................................ 23,200 Medtronic, Inc. 994,120 ........................................................................................................................ 18,820 Mentor Corp. 690,863 ........................................................................................................................ 1,800 Microvision, Inc. (NON) 9,414 ........................................................................................................................ 11,500 Ocular Sciences, Inc. (NON) 304,750 ........................................................................................................................ 9,300 Pall Corp. 192,975 ........................................................................................................................ 15,400 Possis Medical, Inc. (NON) 190,175 ........................................................................................................................ 2,460 Respironics, Inc. (NON) 83,763 ........................................................................................................................ 200 St. Jude Medical, Inc. (NON) 14,770 ........................................................................................................................ 700 Stryker Corp. 37,457 ........................................................................................................................ 200 Sybron Dental Specialties, Inc. (NON) 3,700 ........................................................................................................................ 323 Synthes-Stratec, Inc. (Switzerland) 197,560 ........................................................................................................................ 17,400 Theragenics Corp. (NON) 146,682 ........................................................................................................................ 7,160 Varian Medical Systems, Inc. (NON) 290,338 ........................................................................................................................ 3,810 Zimmer Holdings, Inc. (NON) 135,865 ------------------------------------------------------------------------------------------------------------------------ 5,473,537 ------------------------------------------------------------------------------------------------------------------------ Metals (0.8%) ........................................................................................................................ 3,400 Alcoa, Inc. 112,710 ........................................................................................................................ 54,022 BHP Billiton PLC (United Kingdom) 294,328 ........................................................................................................................ 101,009 BHP Billiton, Ltd. (Australia) 583,972 ........................................................................................................................ 2,500 Carpenter Technology Corp. 72,025 ........................................................................................................................ 4,600 Cleveland-Cliffs, Inc. 126,960 ........................................................................................................................ 6,600 Companhia Vale do Rio Doce (CVRD) ADR (Brazil) (NON) 182,622 ........................................................................................................................ 6,900 Companhia Vale do Rio Doce (CVRD) ADR Class A (Brazil) 179,055 ........................................................................................................................ 16,180 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 288,813 ........................................................................................................................ 11,900 Intermet Corp. 127,806 ........................................................................................................................ 300 Massey Energy Co. 3,810 ........................................................................................................................ 100 Newmont Mining Corp. 2,633 ........................................................................................................................ 300 Nucor Corp. 19,512 ........................................................................................................................ 1,130 Pohang Iron & Steel Co., Ltd. (South Korea) 125,608 ........................................................................................................................ 10,415 POSCO ADR (South Korea) 284,017 ........................................................................................................................ 12,400 Quanex Corp. 541,880 ........................................................................................................................ 4,400 Reliance Steel & Aluminum Co. 134,200 ........................................................................................................................ 9,403 Rio Tinto PLC (United Kingdom) 172,392 ........................................................................................................................ 11,775 Rio Tinto, Ltd. (Australia) 221,544 ........................................................................................................................ 32,200 Ryerson Tull, Inc. 374,486 ........................................................................................................................ 8,220 Stillwater Mining Co. (NON) 133,822 ........................................................................................................................ 16,000 Worthington Industries, Inc. 289,600 ------------------------------------------------------------------------------------------------------------------------ 4,271,795 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (0.3%) ........................................................................................................................ 3,500 AGL Resources, Inc. 81,200 ........................................................................................................................ 3,500 Atmos Energy Corp. 82,040 ........................................................................................................................ 20,300 Dynegy, Inc. Class A 146,160 ........................................................................................................................ 12,300 El Paso Corp. 253,503 ........................................................................................................................ 120,450 Hong Kong and China Gas Co., Ltd. (Hong Kong) 159,830 ........................................................................................................................ 4,400 National Fuel Gas Co. 99,044 ........................................................................................................................ 500 NiSource, Inc. 10,915 ........................................................................................................................ 1,000 Sempra Energy 22,130 ........................................................................................................................ 18,200 Southwestern Energy Co. (NON) 276,458 ........................................................................................................................ 149,000 Tokyo Gas Co., Ltd. (Japan) 413,992 ........................................................................................................................ 400 Williams Companies, Inc. (The) 2,396 ------------------------------------------------------------------------------------------------------------------------ 1,547,668 ------------------------------------------------------------------------------------------------------------------------ Office Equipment & Supplies (0.4%) ........................................................................................................................ 24,000 Canon, Inc. (Japan) 907,134 ........................................................................................................................ 3,200 HON Industries, Inc. 87,104 ........................................................................................................................ 14,300 Labor Ready, Inc. (NON) 83,655 ........................................................................................................................ 400 Reynolds and Reynolds Co. (The) Class A 11,180 ........................................................................................................................ 1,000 Scansource, Inc. (NON) 61,410 ........................................................................................................................ 14,700 Standard Register Co. (The) 502,593 ........................................................................................................................ 700 Steelcase, Inc. 9,366 ........................................................................................................................ 15,700 Wallace Computer Services, Inc. 337,550 ------------------------------------------------------------------------------------------------------------------------ 1,999,992 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (3.6%) ........................................................................................................................ 500 Amerada Hess Corp. 41,250 ........................................................................................................................ 400 Anadarko Petroleum Corp. 19,720 ........................................................................................................................ 11,000 Brown (Tom), Inc. (NON) 311,850 ........................................................................................................................ 1,400 Burlington Resources, Inc. 53,200 ........................................................................................................................ 7,294 Chevron Texaco Corp. 645,519 ........................................................................................................................ 27,600 Conoco, Inc. 767,280 ........................................................................................................................ 4,500 Devon Energy Corp. 221,760 ........................................................................................................................ 11,300 EOG Resources, Inc. 448,610 ........................................................................................................................ 2,400 Exco Resources, Inc. (NON) 36,216 ........................................................................................................................ 96,100 Exxon Mobil Corp. 3,932,412 ........................................................................................................................ 21,500 Frontier Oil Corp. 378,400 ........................................................................................................................ 9,550 Houston Exploration Co. (NON) 276,950 ........................................................................................................................ 11,700 KEY Production Company, Inc. (NON) 228,150 ........................................................................................................................ 11,600 Magnum Hunter Resources, Inc. (NON) 91,524 ........................................................................................................................ 12,400 Marathon Oil Corp. 336,288 ........................................................................................................................ 8,200 Noble Corp. (NON) 316,520 ........................................................................................................................ 6,800 Nuevo Energy Co. (NON) 107,440 ........................................................................................................................ 2,300 Occidental Petroleum Corp. 68,977 ........................................................................................................................ 8,100 Patina Oil & Gas Corp. 222,183 ........................................................................................................................ 30,201 Petroleo Brasileiro SA ADR (Brazil) 569,591 ........................................................................................................................ 10,240 Phillips Petroleum Co. 602,931 ........................................................................................................................ 7,200 Plains Resources, Inc. (NON) 192,600 ........................................................................................................................ 3,400 Quicksilver Resources, Inc. (NON) 87,890 ........................................................................................................................ 29,800 Range Resources Corp. (NON) 166,880 ........................................................................................................................ 8,900 Royal Dutch Petroleum Co. ADR (Netherlands) 491,903 ........................................................................................................................ 338,438 Shell Transport & Trading Co. PLC (United Kingdom) 2,553,109 ........................................................................................................................ 3,700 Stone Energy Corp. (NON) 148,925 ........................................................................................................................ 20,164 Suncor Energy, Inc. (Canada) 352,684 ........................................................................................................................ 26,437 TotalFinaElf SA Class B (France) 4,291,480 ........................................................................................................................ 10,300 TotalFinaElf SA ADR (France) 833,270 ........................................................................................................................ 17,800 Unocal Corp. 657,532 ........................................................................................................................ 455 Valero Energy Corp. 17,026 ........................................................................................................................ 16,100 Westport Resources Corp. (NON) 264,040 ........................................................................................................................ 18,620 XTO Energy, Inc. 383,572 ------------------------------------------------------------------------------------------------------------------------ 20,117,682 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (0.7%) ........................................................................................................................ 32,100 Abitibi-Consolidated, Inc. (Toronto Exchange) (Canada) 295,925 ........................................................................................................................ 29,400 Abitibi-Consolidated, Inc. (NYSE) (Canada) 271,362 ........................................................................................................................ 5,500 Albany International Corp. 148,005 ........................................................................................................................ 200 Bemis Company, Inc. 9,500 ........................................................................................................................ 6,800 Boise Cascade Corp. 234,804 ........................................................................................................................ 1,700 Georgia-Pacific Corp. 41,786 ........................................................................................................................ 3,500 Graphic Packaging Intl. Corp. (NON) 7,438 ........................................................................................................................ 13,900 International Paper Co. 605,762 ........................................................................................................................ 7,300 Kadent, Inc. (NON) 120,450 ........................................................................................................................ 600 MeadWestvaco Corp. 20,136 ........................................................................................................................ 4,600 P.H. Glatfelter Co. 86,480 ........................................................................................................................ 3,700 Rock-Tenn Co. Class A 67,895 ........................................................................................................................ 500 Sealed Air Corp. (NON) 20,135 ........................................................................................................................ 2,100 Silgan Holdings, Inc. (NON) 84,924 ........................................................................................................................ 32,700 Smurfit-Stone Container Corp. (NON) 504,234 ........................................................................................................................ 16,900 Sonoco Products Co. 478,608 ........................................................................................................................ 33,767 Stora Enso OYJ (Finland) 473,116 ........................................................................................................................ 200 Temple Inland, Inc. 11,572 ........................................................................................................................ 5,900 Weyerhaeuser Co. 376,715 ------------------------------------------------------------------------------------------------------------------------ 3,858,847 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (4.6%) ........................................................................................................................ 23,800 Abbott Laboratories 896,070 ........................................................................................................................ 7,700 Allergan, Inc. 513,975 ........................................................................................................................ 6,200 Andrx Group (NON) 167,214 ........................................................................................................................ 75,132 AstraZeneca PLC (United Kingdom) 3,109,852 ........................................................................................................................ 6,400 Barr Laboratories, Inc. (NON) 406,592 ........................................................................................................................ 18,800 Bristol-Myers Squibb Co. 483,160 ........................................................................................................................ 8,800 Endo Pharmaceuticals Holdings, Inc. (NON) 61,600 ........................................................................................................................ 10,265 Enzon, Inc. (NON) 257,857 ........................................................................................................................ 600 Forest Laboratories, Inc. (NON) 42,480 ........................................................................................................................ 98,462 GlaxoSmithKline PLC (United Kingdom) 2,127,795 ........................................................................................................................ 150 IVAX Corp. (NON) 1,620 ........................................................................................................................ 48,082 Johnson & Johnson 2,512,765 ........................................................................................................................ 4,200 K-V Pharmaceuticals Co. (NON) 110,250 ........................................................................................................................ 16,033 King Pharmaceuticals, Inc. (NON) 356,734 ........................................................................................................................ 13,500 Lilly (Eli) & Co. 761,400 ........................................................................................................................ 2,000 Medicines Co. (NON) 24,660 ........................................................................................................................ 36,500 Merck & Company, Inc. 1,848,360 ........................................................................................................................ 400 Mylan Laboratories, Inc. 12,540 ........................................................................................................................ 2,700 NaPro BioTherapeutics, Inc. (NON) 17,712 ........................................................................................................................ 28,501 Novartis AG (Switzerland) 1,253,791 ........................................................................................................................ 4,400 Pain Therapeutics, Inc. (NON) 36,784 ........................................................................................................................ 16,700 Perrigo Co. (NON) 217,100 ........................................................................................................................ 122,175 Pfizer, Inc. 4,276,125 ........................................................................................................................ 30,200 Pharmacia Corp. 1,130,990 ........................................................................................................................ 16,000 Sankyo Company, Ltd. (Japan) 217,605 ........................................................................................................................ 33,727 Sanofi-Synthelabo SA (France) 2,051,406 ........................................................................................................................ 14,300 Schering-Plough Corp. 351,780 ........................................................................................................................ 15,300 Sepracor, Inc. (NON) 146,115 ........................................................................................................................ 18,000 Shionogi & Co., Ltd. (Japan) 229,637 ........................................................................................................................ 5,200 Teva Pharmaceutical Industries, Ltd. ADR (Israel) 347,256 ........................................................................................................................ 28,300 Wyeth 1,448,960 ------------------------------------------------------------------------------------------------------------------------ 25,420,185 ------------------------------------------------------------------------------------------------------------------------ Photography/Imaging (0.2%) ........................................................................................................................ 1,600 Eastman Kodak Co. 46,672 ........................................................................................................................ 24,000 Ikon Office Solutions, Inc. 225,600 ........................................................................................................................ 16,600 Imation Corp. (NON) 494,016 ........................................................................................................................ 15,000 Olympus Optical Co., Ltd. (Japan) 209,512 ........................................................................................................................ 2,500 Xerox Corp. (NON) 17,425 ------------------------------------------------------------------------------------------------------------------------ 993,225 ------------------------------------------------------------------------------------------------------------------------ Power Producers (--%) ........................................................................................................................ 4,855 Mirant Corp. (NON) 35,442 ------------------------------------------------------------------------------------------------------------------------ Publishing (0.2%) ........................................................................................................................ 500 Gannett Co., Inc. 37,950 ........................................................................................................................ 400 Knight-Ridder, Inc. 25,180 ........................................................................................................................ 700 McGraw-Hill Companies, Inc. (The) 41,790 ........................................................................................................................ 500 New York Times Co. (The) Class A 25,750 ........................................................................................................................ 300 R. R. Donnelley & Sons Co. 8,265 ........................................................................................................................ 20,000 Singapore Press Holdings, Ltd. (Singapore) 225,317 ........................................................................................................................ 5,200 Tribune Co. 226,200 ........................................................................................................................ 41,947 United Business Media PLC (United Kingdom) 278,083 ------------------------------------------------------------------------------------------------------------------------ 868,535 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.4%) ........................................................................................................................ 2,500 Burlington Northern Santa Fe Corp. 75,000 ........................................................................................................................ 7,670 Canadian National Railway Co. (Canada) 403,674 ........................................................................................................................ 6,200 CSX Corp. 217,310 ........................................................................................................................ 55 East Japan Railway Co. (Japan) 257,447 ........................................................................................................................ 18,400 Union Pacific Corp. 1,164,352 ------------------------------------------------------------------------------------------------------------------------ 2,117,783 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.8%) ........................................................................................................................ 1,900 Alexandria Real Estate Equities, Inc. (R) 93,746 ........................................................................................................................ 13,700 Anworth Mortgage Asset Corp. (R) 191,663 ........................................................................................................................ 16,300 Archstone-Smith Trust (R) 435,210 ........................................................................................................................ 200 Avalonbay Communities, Inc. (R) 9,340 ........................................................................................................................ 3,100 Brandywine Realty Trust (R) 80,290 ........................................................................................................................ 2,200 CBL & Associates Properties (R) 89,100 ........................................................................................................................ 102,900 Cheung Kong Holdings, Ltd. (Hong Kong) 857,511 ........................................................................................................................ 400 Duke Realty Investments, Inc. (R) 11,580 ........................................................................................................................ 16,298 Equity Office Properties Trust (R) 490,570 ........................................................................................................................ 27,000 Equity Residential Properties Trust (R) 776,250 ........................................................................................................................ 1,700 Essex Property Trust, Inc. (R) 92,990 ........................................................................................................................ 4,100 Glimcher Realty Trust (R) 75,850 ........................................................................................................................ 3,100 Health Care REIT, Inc. (R) 92,845 ........................................................................................................................ 8,900 LNR Property Corp. 307,050 ........................................................................................................................ 8,200 Meritage Corp. (NON) 374,330 ........................................................................................................................ 2,200 Mills Corp. (R) 68,200 ........................................................................................................................ 3,800 Nationwide Health Properties, Inc. (R) 71,250 ........................................................................................................................ 4,000 Post Properties, Inc. (R) 120,640 ........................................................................................................................ 3,100 Prentiss Properties Trust (R) 98,425 ........................................................................................................................ 253 ProLogis Trust (R) 6,578 ........................................................................................................................ 2,600 SL Green Realty Corp. (R) 92,690 ........................................................................................................................ 800 Vornado Realty Trust (R) 36,960 ........................................................................................................................ 3,500 Weingarten Realty Investors (R) 123,900 ------------------------------------------------------------------------------------------------------------------------ 4,596,968 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (0.9%) ........................................................................................................................ 33,400 BellSouth Corp. 1,052,100 ........................................................................................................................ 80,800 Qwest Communications International, Inc. (NON) 226,240 ........................................................................................................................ 61,700 SBC Communications, Inc. 1,881,850 ........................................................................................................................ 48,800 Verizon Communications, Inc. 1,959,320 ------------------------------------------------------------------------------------------------------------------------ 5,119,510 ------------------------------------------------------------------------------------------------------------------------ Restaurants (0.6%) ........................................................................................................................ 130 AmeriKing, Inc. (NON) 1 ........................................................................................................................ 5,800 Buca, Inc. (NON) 110,490 ........................................................................................................................ 2,700 California Pizza Kitchen, Inc. (NON) 66,960 ........................................................................................................................ 9,800 CBRL Group, Inc. 298,214 ........................................................................................................................ 3,300 Darden Restaurants, Inc. 81,510 ........................................................................................................................ 12,500 Lone Star Steakhouse & Saloon, Inc. 294,875 ........................................................................................................................ 24,100 McDonald's Corp. 685,645 ........................................................................................................................ 7,000 Papa Johns International, Inc. (NON) 233,730 ........................................................................................................................ 6,100 Sonic Corp. (NON) 191,601 ........................................................................................................................ 23,900 Starbucks Corp. (NON) 593,915 ........................................................................................................................ 600 Wendy's International, Inc. 23,898 ........................................................................................................................ 17,000 Yum! Brands, Inc. (NON) 497,250 ------------------------------------------------------------------------------------------------------------------------ 3,078,089 ------------------------------------------------------------------------------------------------------------------------ Retail (4.0%) ........................................................................................................................ 8,630 1-800-FLOWERS.COM, Inc. (NON) 96,311 ........................................................................................................................ 5,800 Aaron Rents, Inc. 138,910 ........................................................................................................................ 4,300 Albertsons, Inc. 130,978 ........................................................................................................................ 2,200 AnnTaylor Stores Corp. (NON) 55,858 ........................................................................................................................ 9,000 Autonation, Inc. (NON) 130,500 ........................................................................................................................ 600 AutoZone, Inc. (NON) 46,380 ........................................................................................................................ 16,598 Bed Bath & Beyond, Inc. (NON) 626,409 ........................................................................................................................ 600 Best Buy Companies, Inc. (NON) 21,780 ........................................................................................................................ 8,400 Blockbuster, Inc. Class A 225,960 ........................................................................................................................ 29,600 Bombay Co., Inc. (The) (NON) 132,904 ........................................................................................................................ 13,300 Brown Shoe Co., Inc. 373,730 ........................................................................................................................ 10,900 Burlington Coat Factory Warehouse Corp. 231,625 ........................................................................................................................ 470 Chico's FAS, Inc. (NON) 17,070 ........................................................................................................................ 200 Circuit City Stores-Circuit City Group 3,750 ........................................................................................................................ 800 CVS Corp. 24,480 ........................................................................................................................ 129,700 Dixons Group PLC (United Kingdom) 378,030 ........................................................................................................................ 300 Dollar Tree Stores, Inc. (NON) 11,823 ........................................................................................................................ 200 Family Dollar Stores, Inc. 7,050 ........................................................................................................................ 1,300 Fast Retailing Co., Ltd. (Japan) 28,202 ........................................................................................................................ 7,800 Federated Department Stores, Inc. (NON) 309,660 ........................................................................................................................ 22,700 Finish Line Class A (NON) 406,784 ........................................................................................................................ 36,600 Foot Locker, Inc. (NON) 528,870 ........................................................................................................................ 6,600 Fred's, Inc. Class A 242,748 ........................................................................................................................ 1,200 Gap, Inc. (The) 17,040 ........................................................................................................................ 700 Gart Sports Co. (NON) 19,943 ........................................................................................................................ 10,600 Goody's Family Clothing, Inc. (NON) 122,218 ........................................................................................................................ 8,600 Great Atlantic & Pacific Tea Co. (NON) 160,734 ........................................................................................................................ 16,700 Gymboree Corp. (The) (NON) 267,534 ........................................................................................................................ 28,000 Home Depot, Inc. (The) 1,028,440 ........................................................................................................................ 7,200 Hughes Supply, Inc. 323,280 ........................................................................................................................ 8,500 J. Jill Group, Inc. (NON) 322,575 ........................................................................................................................ 28,700 JC Penney Company, Inc. 631,974 ........................................................................................................................ 3,800 Jo-Ann Stores, Inc. Class A (NON) 110,960 ........................................................................................................................ 15,000 Kenneth Cole Productions, Inc. Class A (NON) 425,250 ........................................................................................................................ 14,400 Kohl's Corp. (NON) 1,009,152 ........................................................................................................................ 32,000 Kroger Co. (NON) 636,800 ........................................................................................................................ 24,160 Limited Brands, Inc. 514,608 ........................................................................................................................ 12,600 Longs Drug Stores, Inc. 356,454 ........................................................................................................................ 24,300 Lowe's Companies, Inc. 1,103,220 ........................................................................................................................ 3,400 May Department Stores Co. 111,962 ........................................................................................................................ 15,298 Metro AG (Germany) 468,263 ........................................................................................................................ 8,100 Movie Gallery, Inc. (NON) 171,072 ........................................................................................................................ 9,900 Nash Finch Co. 316,404 ........................................................................................................................ 19,600 NBTY, Inc. (NON) 303,408 ........................................................................................................................ 4,600 Nu Skin Enterprises, Inc. Class A 66,930 ........................................................................................................................ 52,800 Office Depot, Inc. (NON) 887,040 ........................................................................................................................ 18,500 OfficeMax, Inc. (NON) 108,965 ........................................................................................................................ 6,300 Pep Boys (The)-Manny, Moe, & Jack 106,155 ........................................................................................................................ 54,100 PETsMART, Inc. (NON) 862,895 ........................................................................................................................ 11,990 Rent-A-Center, Inc. (NON) 695,540 ........................................................................................................................ 8,300 Rent-Way, Inc. (NON) 107,485 ........................................................................................................................ 12,300 Rite Aid Corp. (NON) 28,905 ........................................................................................................................ 5,100 Ross Stores, Inc. 207,825 ........................................................................................................................ 6,900 Ruddick Corp. 117,024 ........................................................................................................................ 5,600 Safeway, Inc. (NON) 163,464 ........................................................................................................................ 3,000 Sears, Roebuck & Co. 162,900 ........................................................................................................................ 4,100 Sharper Image Corp. (NON) 82,615 ........................................................................................................................ 13,300 ShopKo Stores, Inc. (NON) 268,660 ........................................................................................................................ 12,800 Skechers U.S.A., Inc. Class A (NON) 276,608 ........................................................................................................................ 6,000 Staples, Inc. (NON) 118,200 ........................................................................................................................ 1,800 SUPERVALU, Inc. 44,154 ........................................................................................................................ 1,900 Target Corp. 72,390 ........................................................................................................................ 260,093 Tesco PLC (United Kingdom) 945,370 ........................................................................................................................ 36,800 TJX Companies, Inc. (The) 721,648 ........................................................................................................................ 3,000 Tuesday Morning Corp. (NON) 55,680 ........................................................................................................................ 8,600 United Natural Foods, Inc. (NON) 167,700 ........................................................................................................................ 41,190 Wal-Mart Stores, Inc. 2,265,862 ........................................................................................................................ 7,300 Walgreen Co. 281,999 ........................................................................................................................ 1,900 Weiss Markets, Inc. 69,825 ........................................................................................................................ 29,100 Wet Seal, Inc. (The) (NON) 707,130 ........................................................................................................................ 500 Whole Foods Market, Inc. (NON) 24,110 ........................................................................................................................ 7,900 Williams-Sonoma, Inc. (NON) 242,214 ........................................................................................................................ 6,300 Winn Dixie Stores, Inc. 98,217 ------------------------------------------------------------------------------------------------------------------------ 22,548,613 ------------------------------------------------------------------------------------------------------------------------ Schools (--%) ........................................................................................................................ 6,260 MemberWorks, Inc. (NON) 115,998 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (0.4%) ........................................................................................................................ 1,300 Advantest Corp. (Japan) 80,918 ........................................................................................................................ 31,000 Applied Materials, Inc. (NON) 589,620 ........................................................................................................................ 5,100 Cymer, Inc. (NON) 178,704 ........................................................................................................................ 7,050 DuPont Photomasks, Inc. (NON) 233,778 ........................................................................................................................ 9,500 Helix Technology Corp. 195,700 ........................................................................................................................ 11,300 KLA-Tencor Corp. (NON) 497,087 ........................................................................................................................ 700 LAM Research Corp. (NON) 12,586 ........................................................................................................................ 10,100 LTX Corp. (NON) 144,228 ........................................................................................................................ 203 Mykrolis Corp. (NON) 2,397 ........................................................................................................................ 8,000 Novellus Systems, Inc. (NON) 272,000 ........................................................................................................................ 7,492 Photronics, Inc. (NON) 141,898 ........................................................................................................................ 10,230 Semitool, Inc. (NON) 83,477 ........................................................................................................................ 1,300 Zygo Corp. (NON) 10,465 ------------------------------------------------------------------------------------------------------------------------ 2,442,858 ------------------------------------------------------------------------------------------------------------------------ Shipping (0.1%) ........................................................................................................................ 25,700 Airborne, Inc. 493,440 ........................................................................................................................ 9,500 EGL, Inc. (NON) 161,120 ........................................................................................................................ 600 Expeditors International of Washington, Inc. 19,896 ........................................................................................................................ 4,200 Horizon Offshore, Inc. (NON) 35,448 ........................................................................................................................ 5,900 Trico Marine Services, Inc. (NON) 40,061 ------------------------------------------------------------------------------------------------------------------------ 749,965 ------------------------------------------------------------------------------------------------------------------------ Software (1.6%) ........................................................................................................................ 8,800 Activision, Inc. (NON) 255,728 ........................................................................................................................ 1,000 Adobe Systems, Inc. 28,500 ........................................................................................................................ 33,300 Aether Systems, Inc. (NON) 98,235 ........................................................................................................................ 7,500 Ansys, Inc. (NON) 150,750 ........................................................................................................................ 9,600 Aspen Technology, Inc. (NON) 80,064 ........................................................................................................................ 1,000 Autodesk, Inc. 13,250 ........................................................................................................................ 22,600 Avid Technology, Inc. (NON) 209,276 ........................................................................................................................ 3,800 BEA Systems, Inc. (NON) 36,138 ........................................................................................................................ 23,900 BMC Software, Inc. (NON) 396,740 ........................................................................................................................ 800 Cadence Design Systems, Inc. (NON) 12,896 ........................................................................................................................ 900 Citrix Systems, Inc. (NON) 5,436 ........................................................................................................................ 23,400 Computer Associates International, Inc. 371,826 ........................................................................................................................ 1,200 Compuware Corp. (NON) 7,284 ........................................................................................................................ 2,100 Datastream Systems, Inc. (NON) 14,910 ........................................................................................................................ 7,900 Documentum, Inc. (NON) 94,800 ........................................................................................................................ 5,800 Electronic Arts, Inc. (NON) 383,090 ........................................................................................................................ 5,410 FileNET Corp. (NON) 78,445 ........................................................................................................................ 31,000 J.D. Edwards & Co. (NON) 376,650 ........................................................................................................................ 20,530 Kana Communications, Inc. (NON) 82,120 ........................................................................................................................ 88,100 Microsoft Corp. (NON) 4,819,070 ........................................................................................................................ 1,900 NETIQ Corp. (NON) 42,997 ........................................................................................................................ 9,500 Network Associates, Inc. (NON) 183,065 ........................................................................................................................ 49,400 Oracle Corp. (NON) 467,818 ........................................................................................................................ 13,000 PeopleSoft, Inc. (NON) 193,440 ........................................................................................................................ 5,700 Pinnacle Systems, Inc. (NON) 57,570 ........................................................................................................................ 3,500 Roxio, Inc. (NON) 25,200 ........................................................................................................................ 12,000 S1 Corp. (NON) 88,680 ........................................................................................................................ 1,400 Siebel Systems, Inc. (NON) 19,908 ........................................................................................................................ 800 Symantec Corp. (NON) 26,280 ........................................................................................................................ 4,232 Synopsys, Inc. (NON) 231,956 ........................................................................................................................ 3,500 VERITAS Software Corp. (NON) 69,265 ........................................................................................................................ 1,300 Virage Logic Corp. (NON) 16,926 ........................................................................................................................ 2,500 webMethods, Inc. (NON) 24,750 ........................................................................................................................ 5,200 Websense, Inc. (NON) 132,964 ------------------------------------------------------------------------------------------------------------------------ 9,096,027 ------------------------------------------------------------------------------------------------------------------------ Staffing (--%) ........................................................................................................................ 13,100 Kforce, Inc. (NON) 77,945 ------------------------------------------------------------------------------------------------------------------------ Technology (--%) ........................................................................................................................ 10,600 Flextronics International, Ltd. (Singapore) (NON) 75,578 ------------------------------------------------------------------------------------------------------------------------ Technology Services (0.8%) ........................................................................................................................ 2,300 Accenture, Ltd. Class A (Bermuda) (NON) 43,700 ........................................................................................................................ 300 Acxiom Corp. (NON) 5,247 ........................................................................................................................ 3,200 Affiliated Computer Services, Inc. Class A (NON) 151,936 ........................................................................................................................ 16,400 Automatic Data Processing, Inc. 714,220 ........................................................................................................................ 600 BISYS Group, Inc. (The) (NON) 19,980 ........................................................................................................................ 18,100 Carreker Corp. (NON) 208,150 ........................................................................................................................ 8,600 Checkfree Corp. (NON) 134,504 ........................................................................................................................ 10,100 Ciber, Inc. (NON) 73,225 ........................................................................................................................ 1,400 Cognizant Technology Solutions Corp. (NON) 75,250 ........................................................................................................................ 4,900 Computer Sciences Corp. (NON) 234,220 ........................................................................................................................ 10,300 Computer Task Group, Inc. (NON) 51,191 ........................................................................................................................ 6,560 Concerto Software, Inc. (NON) 41,328 ........................................................................................................................ 1,700 Concord EFS, Inc. (NON) 51,238 ........................................................................................................................ 2,200 Convergys Corp. (NON) 42,856 ........................................................................................................................ 500 CSG Systems International, Inc. (NON) 9,570 ........................................................................................................................ 200 DST Systems, Inc. (NON) 9,142 ........................................................................................................................ 2,501 Electronic Data Systems Corp. 92,912 ........................................................................................................................ 2,200 Fiserv, Inc. (NON) 80,762 ........................................................................................................................ 16,000 Gartner, Inc. Class A (NON) 161,600 ........................................................................................................................ 45,200 KPMG Consulting, Inc. (NON) 671,672 ........................................................................................................................ 18,100 MTS Systems Corp. 238,196 ........................................................................................................................ 3,940 Overture Services, Inc. (NON) 96,136 ........................................................................................................................ 79,300 Safeguard Scientifics, Inc. (NON) 158,600 ........................................................................................................................ 82,600 Silicon Graphics Corp. (NON) 242,844 ........................................................................................................................ 1,100 SunGard Data Systems, Inc. (NON) 29,128 ........................................................................................................................ 7,272 TietoEnator OYJ (Finland) 179,509 ........................................................................................................................ 3,200 TietoEnator OYJ 144A (Finland) 78,992 ........................................................................................................................ 12,200 Unisys Corp. (NON) 109,800 ........................................................................................................................ 9,500 United Online, Inc. (NON) 114,190 ........................................................................................................................ 39,900 Unova, Inc. (NON) 258,951 ------------------------------------------------------------------------------------------------------------------------ 4,379,049 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (1.6%) ........................................................................................................................ 4,900 ALLTEL Corp. 230,300 ........................................................................................................................ 479 Arch Wireless, Inc. (NON) 479 ........................................................................................................................ 14,200 AT&T Corp. 151,940 ........................................................................................................................ 23,649 AT&T Wireless Services, Inc. (NON) 138,347 ........................................................................................................................ 5,100 Boston Communications Group (NON) 41,004 ........................................................................................................................ 200 CenturyTel, Inc. 5,900 ........................................................................................................................ 11,700 Citizens Communications Co. (NON) 97,812 ........................................................................................................................ 4,400 Commonwealth Telephone Enterprises, Inc. (NON) 177,056 ........................................................................................................................ 14,300 General Communication, Inc. Class A (NON) 95,381 ........................................................................................................................ 46,657 KT Corp. ADR (South Korea) 1,010,124 ........................................................................................................................ 1,200 Nextel Communications, Inc. Class A (NON) 3,852 ........................................................................................................................ 1,113 NTT DoCoMo, Inc. (Japan) 2,739,549 ........................................................................................................................ 35,090 Portugal Telecom SGPS SA (Portugal) 247,732 ........................................................................................................................ 1,450 SK Telecom Co., Ltd. (South Korea) 325,375 ........................................................................................................................ 9,835 SK Telecom Co., Ltd. ADR (South Korea) 243,810 ........................................................................................................................ 16,200 Somera Communications, Inc. (NON) 115,668 ........................................................................................................................ 32,500 Sprint Corp. (FON Group) 344,825 ........................................................................................................................ 2,800 Sprint Corp. (PCS Group) (NON) 12,516 ........................................................................................................................ 8,556 TDC A/S (Denmark) 236,649 ........................................................................................................................ 41,303 Telecom Italia SpA - RNC (Italy) 219,002 ........................................................................................................................ 18,221 Telefonos de Mexico SA de CV (Telmex) ADR Class L (Mexico) 584,530 ........................................................................................................................ 200 Telephone and Data Systems, Inc. 12,110 ........................................................................................................................ 7,900 Triton PCS Holdings, Inc. Class A (NON) 30,810 ........................................................................................................................ 1,507,446 Vodafone Group PLC (United Kingdom) 2,067,613 ------------------------------------------------------------------------------------------------------------------------ 9,132,384 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.1%) ........................................................................................................................ 7,700 Culp, Inc. (NON) 124,047 ........................................................................................................................ 700 Jones Apparel Group, Inc. (NON) 26,250 ........................................................................................................................ 11,700 Kellwood Co. 380,250 ........................................................................................................................ 3,900 Phillips-Van Heusen Corp. 60,840 ........................................................................................................................ 4,900 Steven Madden, Ltd. (NON) 97,162 ........................................................................................................................ 300 V. F. Corp. 11,763 ------------------------------------------------------------------------------------------------------------------------ 700,312 ------------------------------------------------------------------------------------------------------------------------ Tire & Rubber (--%) ........................................................................................................................ 300 Goodyear Tire & Rubber Co. (The) 5,613 ------------------------------------------------------------------------------------------------------------------------ Tobacco (0.7%) ........................................................................................................................ 13,218 Altadis SA (Spain) 272,775 ........................................................................................................................ 22,400 BAT Industries PLC (United Kingdom) 240,670 ........................................................................................................................ 42 Japan Tobacco, Inc. (Japan) 281,752 ........................................................................................................................ 8,700 Korea Tobacco & Ginseng Corp. 144A GDR (South Korea) 56,463 ........................................................................................................................ 71,500 Philip Morris Companies, Inc. 3,123,120 ........................................................................................................................ 1,000 R.J. Reynolds Tobacco Holdings, Inc. 53,750 ........................................................................................................................ 600 UST, Inc. 20,400 ------------------------------------------------------------------------------------------------------------------------ 4,048,930 ------------------------------------------------------------------------------------------------------------------------ Toys (0.2%) ........................................................................................................................ 19,689 Action Performance Companies, Inc. (NON) 622,172 ........................................................................................................................ 7,500 Department 56, Inc. (NON) 122,100 ........................................................................................................................ 5,300 Mattel, Inc. 111,724 ........................................................................................................................ 2,900 Nintendo Co., Ltd. (Japan) 427,076 ........................................................................................................................ 400 Toys R Us (NON) 6,988 ------------------------------------------------------------------------------------------------------------------------ 1,290,060 ------------------------------------------------------------------------------------------------------------------------ Transportation Services (0.1%) ........................................................................................................................ 23,298 TPG NV (Netherlands) 526,112 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.3%) ........................................................................................................................ 1,300 Allied Waste Industries, Inc. (NON) 12,480 ........................................................................................................................ 34,500 Republic Services, Inc. (NON) 657,915 ........................................................................................................................ 7,400 Stericycle, Inc. (NON) 262,034 ........................................................................................................................ 18,400 Waste Management, Inc. 479,320 ........................................................................................................................ 4,000 World Fuel Services Corp. 97,600 ------------------------------------------------------------------------------------------------------------------------ 1,509,349 ------------------------------------------------------------------------------------------------------------------------ Water Utilities (0.1%) ........................................................................................................................ 9,800 Vivendi Environnement (France) 302,391 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $341,901,138) $321,439,894 ------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES (11.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Aerospace and Defense (0.4%) ........................................................................................................................ $440,000 Bombardier, Inc. 144A notes 6 3/4s, 2012 (Canada) $456,827 ........................................................................................................................ 860,000 Lockheed Martin Corp. bonds 8 1/2s, 2029 1,027,666 ........................................................................................................................ 260,000 Raytheon Co. notes 8.3s, 2010 293,644 ........................................................................................................................ 320,000 Raytheon Co. notes 6 3/4s, 2007 339,078 ------------------------------------------------------------------------------------------------------------------------ 2,117,215 ------------------------------------------------------------------------------------------------------------------------ Agriculture (--%) ........................................................................................................................ 40,000 Premium Standard Farms, Inc. sr. notes 9 1/4s, 2011 38,400 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.2%) ........................................................................................................................ 205,934 Airbus Industries sinking fund 144A 8.027s, 2020 198,364 ........................................................................................................................ 100,000 Airbus Industries 144A notes Ser. D, 12.266s, 2020 77,148 ........................................................................................................................ 140,000 AMR Corp. deb. 9s, 2012 123,200 ........................................................................................................................ 140,000 Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 117,600 ........................................................................................................................ 60,000 Delta Air Lines, Inc. notes 8.3s, 2029 46,800 ........................................................................................................................ 590,000 Delta Air Lines, Inc. notes 7.9s, 2009 531,000 ........................................................................................................................ 60,000 Delta Air Lines, Inc. notes 7.7s, 2005 52,800 ........................................................................................................................ 190,000 United AirLines, Inc. deb. 9 1/8s, 2012 98,800 ........................................................................................................................ 70,000 US Air, Inc. pass-through certificates Ser. 93A3, 10 3/8s, 2013 42,000 ------------------------------------------------------------------------------------------------------------------------ 1,287,712 ------------------------------------------------------------------------------------------------------------------------ Automotive (1.0%) ........................................................................................................................ 665,000 DaimlerChrysler NA Holding Corp. company guaranty 7.3s, 2012 697,432 ........................................................................................................................ 260,000 Dana Corp. notes 9s, 2011 254,800 ........................................................................................................................ 110,000 Dana Corp. notes 6 1/4s, 2004 103,400 ........................................................................................................................ 805,000 Ford Motor Co. bonds 6 5/8s, 2028 678,019 ........................................................................................................................ 270,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 274,080 ........................................................................................................................ 765,000 Ford Motor Credit Corp. notes 6 1/2s, 2007 767,046 ........................................................................................................................ 435,000 Ford Motor Credit Corp. sr. notes 5.8s, 2009 407,930 ........................................................................................................................ 835,000 General Motors Acceptance Corp. notes 6 7/8s, 2011 827,669 ........................................................................................................................ 920,000 General Motors Acceptance Corp. notes 6 1/8s, 2006 936,082 ........................................................................................................................ 160,000 Lear Corp. company guaranty Ser. B, 8.11s, 2009 163,227 ........................................................................................................................ 150,000 Lear Corp. company guaranty Ser. B, 7.96s, 2005 153,114 ........................................................................................................................ 240,000 Visteon Corp. sr. notes 8 1/4s, 2010 258,190 ------------------------------------------------------------------------------------------------------------------------ 5,520,989 ------------------------------------------------------------------------------------------------------------------------ Banking (1.1%) ........................................................................................................................ 1,370,000 Bank of America Corp. sub. notes 7.4s, 2011 1,498,122 ........................................................................................................................ 160,000 Bank One Corp. notes 6s, 2008 165,395 ........................................................................................................................ 245,000 BankBoston NA sub. notes Ser. BKNT, 6 3/8s, 2008 254,508 ........................................................................................................................ 515,000 Citigroup, Inc. deb. 6 5/8s, 2028 500,662 ........................................................................................................................ 410,000 Citigroup, Inc. notes 6 1/2s, 2011 426,753 ........................................................................................................................ 110,000 Colonial Capital II 144A company guaranty 8.92s, 2027 99,279 ........................................................................................................................ 90,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 95,294 ........................................................................................................................ 375,000 JPMorgan Chase & Co. notes 5.35s, 2007 378,525 ........................................................................................................................ 975,000 National City Bank sub. notes Ser. BKNT, 6 1/4s, 2011 987,665 ........................................................................................................................ 20,000 Peoples Heritage Capital Trust company guaranty Ser. B, 9.06s, 2027 20,373 ........................................................................................................................ 665,000 PNC Funding Corp. company guaranty 5 3/4s, 2006 685,974 ........................................................................................................................ 70,000 Provident Capital Trust company guaranty 8.6s, 2026 61,835 ........................................................................................................................ 232,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 255,200 ........................................................................................................................ 760,000 Washington Mutual, Inc. sr. notes 5 5/8s, 2007 773,185 ........................................................................................................................ 5,000 Webster Capital Trust I 144A bonds 9.36s, 2027 4,970 ------------------------------------------------------------------------------------------------------------------------ 6,207,740 ------------------------------------------------------------------------------------------------------------------------ Beverage (0.1%) ........................................................................................................................ 415,000 Anheuser-Busch Companies, Inc. deb. 7.55s, 2030 476,561 ........................................................................................................................ 130,000 Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 133,250 ........................................................................................................................ 10,000 Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012 10,350 ------------------------------------------------------------------------------------------------------------------------ 620,161 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.3%) ........................................................................................................................ 420,000 British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) 386,345 ........................................................................................................................ 330,000 Chancellor Media Corp. company guaranty 8s, 2008 320,100 ........................................................................................................................ 190,000 Fox/Liberty Networks, LLC sr. notes 8 7/8s, 2007 193,800 ........................................................................................................................ 485,000 News America Holdings, Inc. deb. 7.7s, 2025 448,804 ........................................................................................................................ 120,000 News America, Inc. sr. notes 6 5/8s, 2008 120,014 ........................................................................................................................ 80,000 Pegasus Satellite sr. notes 12 3/8s, 2006 42,400 ------------------------------------------------------------------------------------------------------------------------ 1,511,463 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.2%) ........................................................................................................................ 150,000 CSC Holdings, Inc. deb. 7 5/8s, 2018 107,420 ........................................................................................................................ 270,000 CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 212,695 ........................................................................................................................ 210,000 CSC Holdings, Inc. sr. sub. deb. 10 1/2s, 2016 157,500 ........................................................................................................................ 285,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 212,325 ........................................................................................................................ 78,000 Jones Intercable, Inc. sr. notes 8 7/8s, 2007 81,799 ........................................................................................................................ 445,000 TCI Communications, Inc. deb. 7 7/8s, 2013 400,144 ........................................................................................................................ 20,000 TeleWest Communications PLC deb. 11s, 2007 (United Kingdom) 8,100 ------------------------------------------------------------------------------------------------------------------------ 1,179,983 ------------------------------------------------------------------------------------------------------------------------ Chemicals (0.3%) ........................................................................................................................ 400,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 382,000 ........................................................................................................................ 40,000 Georgia Gulf Corp. company guaranty 10 3/8s, 2007 42,000 ........................................................................................................................ 195,000 Hercules, Inc. company guaranty 11 1/8s, 2007 218,400 ........................................................................................................................ 390,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 418,419 ........................................................................................................................ 395,000 Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 375,250 ........................................................................................................................ 107,000 Lyondell Chemical Co. sec. notes Ser. B, 9 7/8s, 2007 102,185 ........................................................................................................................ 240,000 Millenium America, Inc. company guaranty 7s, 2006 225,821 ........................................................................................................................ 60,000 Noveon, Inc. company guaranty Ser. B, 11s, 2011 64,425 ........................................................................................................................ 100,000 Sterling Chemicals Holdings sr. disc. notes 13 1/2s, 2008 (In default) (NON) 500 ........................................................................................................................ 30,000 Texas Petrochemical Corp. sr. sub. notes Ser. B, 11 1/8s, 2006 23,400 ------------------------------------------------------------------------------------------------------------------------ 1,852,400 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (--%) ........................................................................................................................ 155,000 Tyco International, Ltd. company guaranty 6 3/4s, 2011 (Luxembourg) 120,125 ------------------------------------------------------------------------------------------------------------------------ Construction (--%) ........................................................................................................................ 200,000 American Standard Companies, Inc. company guaranty 7 5/8s, 2010 202,000 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.2%) ........................................................................................................................ 400,000 Capital One Financial Corp. notes 7 1/4s, 2006 395,494 ........................................................................................................................ 505,000 Household Finance Corp. notes 7s, 2012 500,076 ------------------------------------------------------------------------------------------------------------------------ 895,570 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (--%) ........................................................................................................................ 50,000 United Rentals (North America), Inc. company guaranty Ser. B, 10 3/4s, 2008 53,250 ------------------------------------------------------------------------------------------------------------------------ Containers (--%) ........................................................................................................................ 70,000 Ball Corp. company guaranty 8 1/4s, 2008 72,800 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (1.4%) ........................................................................................................................ 440,000 Allegheny Energy Supply 144A bonds 8 1/4s, 2012 463,991 ........................................................................................................................ 430,000 American Electric Power Company, Inc. notes Ser. A, 6 1/8s, 2006 437,284 ........................................................................................................................ 137,000 Avista Corp. sr. notes 9 3/4s, 2008 146,046 ........................................................................................................................ 40,000 CMS Energy Corp. sr. notes 7 1/2s, 2009 27,600 ........................................................................................................................ 290,000 CMS Energy Corp. sr. notes Ser. B, 6 3/4s, 2004 217,500 ........................................................................................................................ 270,000 Conectiv, Inc. 144A notes 5.3s, 2005 271,794 ........................................................................................................................ 1,220,000 Dominion Resources, Inc. sr. notes Ser. B, 7 5/8s, 2005 1,317,759 ........................................................................................................................ 395,000 Duke Energy Corp. notes 6 1/4s, 2012 400,591 ........................................................................................................................ 850,000 Exelon Corp. sr. notes 6 3/4s, 2011 881,085 ........................................................................................................................ 880,000 FirstEnergy Corp. notes Ser. A, 5 1/2s, 2006 854,093 ........................................................................................................................ 449,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 462,470 ........................................................................................................................ 450,000 Nisource Finance Corp. company guaranty Ser. B, 7 5/8s, 2005 453,852 ........................................................................................................................ 487 Northeast Utilities notes Ser. A, 8.58s, 2006 529 ........................................................................................................................ 615,000 Oncor Electric Delivery Co. 144A notes 6 3/8s, 2012 630,873 ........................................................................................................................ 100,000 Cleveland Electric Illuminating Co. (The) 1st mtge. Ser. B, 9 1/2s, 2005 100,387 ........................................................................................................................ 610,000 TXU Corp. sr. notes Ser. J, 6 3/8s, 2006 624,811 ........................................................................................................................ 180,000 Western Resources, Inc. 144A 1st mtge. 7 7/8s, 2007 182,024 ........................................................................................................................ 180,000 Western Resources, Inc. 144A sr. notes 9 3/4s, 2007 175,965 ------------------------------------------------------------------------------------------------------------------------ 7,648,654 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (--%) ........................................................................................................................ 90,000 Amkor Technology, Inc. sr. notes 9 1/4s, 2008 72,900 ------------------------------------------------------------------------------------------------------------------------ Electronics (--%) ........................................................................................................................ 150,000 Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008 149,250 ------------------------------------------------------------------------------------------------------------------------ Energy (0.2%) ........................................................................................................................ 90,000 BRL Universal Equipment sec. notes 8 7/8s, 2008 90,900 ........................................................................................................................ 60,000 Key Energy Services, Inc. company guaranty Ser. C, 8 3/8s, 2008 61,800 ........................................................................................................................ 10,000 Pride International, Inc. sr. notes 10s, 2009 10,750 ........................................................................................................................ 189,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 197,033 ........................................................................................................................ 575,000 Transocean Sedco Forex, Inc. notes 6 5/8s, 2011 591,135 ------------------------------------------------------------------------------------------------------------------------ 951,618 ------------------------------------------------------------------------------------------------------------------------ Financial (0.4%) ........................................................................................................................ 33,000 AMRESCO, Inc. sr. sub. notes Ser. 97-A, 10s, 2004 (In default) (NON) 6,600 ........................................................................................................................ 900,000 Associates Corp. sr. notes 6 1/4s, 2008 936,018 ........................................................................................................................ 425,000 CIT Group, Inc. sr. notes 7 3/4s, 2012 425,000 ........................................................................................................................ 300,000 Fairfax Financial Holdings, Ltd. notes 6 7/8s, 2008 (Canada) 258,000 ........................................................................................................................ 635,000 St. Paul Companies, Inc. (The) sr. notes 5 3/4s, 2007 637,785 ------------------------------------------------------------------------------------------------------------------------ 2,263,403 ------------------------------------------------------------------------------------------------------------------------ Food (0.2%) ........................................................................................................................ 100,000 Smithfield Foods, Inc. sr. notes Ser. B, 8s, 2009 100,750 ........................................................................................................................ 870,000 Unilever Capital Corp. company guaranty 7 1/8s, 2010 956,400 ------------------------------------------------------------------------------------------------------------------------ 1,057,150 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.5%) ........................................................................................................................ 100,000 Circus Circus Enterprises, Inc. sr. sub. deb. 7 5/8s, 2013 94,875 ........................................................................................................................ 28,674 Fitzgeralds Gaming Corp. company guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 10,072 ........................................................................................................................ 90,000 Harrah's Entertainment, Inc. company guaranty 7 7/8s, 2005 92,700 ........................................................................................................................ 70,000 Harrah's Operating Company, Inc. company guaranty 7 1/2s, 2009 72,906 ........................................................................................................................ 210,000 International Game Technology sr. notes 8 3/8s, 2009 221,025 ........................................................................................................................ 280,000 Mandalay Resort Group sr. notes 9 1/2s, 2008 299,600 ........................................................................................................................ 760,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 777,100 ........................................................................................................................ 50,000 Mohegan Tribal Gaming Authority sr. notes 8 1/8s, 2006 51,000 ........................................................................................................................ 185,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 191,475 ........................................................................................................................ 20,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 19,500 ........................................................................................................................ 90,000 Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007 95,738 ........................................................................................................................ 590,000 Park Place Entertainment Corp. sr. sub. notes 7 7/8s, 2005 591,475 ------------------------------------------------------------------------------------------------------------------------ 2,517,466 ------------------------------------------------------------------------------------------------------------------------ Health Care (0.3%) ........................................................................................................................ 130,000 HCA, Inc. deb. 7.19s, 2015 131,344 ........................................................................................................................ 50,000 HCA, Inc. med. term notes 7.69s, 2025 48,807 ........................................................................................................................ 90,000 HCA, Inc. notes 8 3/4s, 2010 100,709 ........................................................................................................................ 65,000 HCA, Inc. notes 8.36s, 2024 69,071 ........................................................................................................................ 40,000 HCA, Inc. notes 7s, 2007 40,974 ........................................................................................................................ 612,000 HCA, Inc. sr. notes 7 7/8s, 2011 650,195 ........................................................................................................................ 80,000 HCA, Inc. sr. notes 6.95s, 2012 80,761 ........................................................................................................................ 130,000 Healthsouth Corp. sr. notes 8 1/2s, 2008 135,850 ........................................................................................................................ 237,000 Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 257,145 ........................................................................................................................ 130,000 Mariner Post-Acute Network, Inc. sr. sub. notes Ser. B, 9 1/2s, 2007 (In default) (NON) 1,625 ........................................................................................................................ 80,000 Mariner Post-Acute Network, Inc. sr. sub. notes stepped-coupon Ser. B, zero % (10 1/2s, 11/1/02), 2007 (In default) (NON) (STP) 600 ........................................................................................................................ 260,000 Multicare Companies, Inc. sr. sub. notes 9s, 2007 (In default) (NON) 26 ------------------------------------------------------------------------------------------------------------------------ 1,517,107 ------------------------------------------------------------------------------------------------------------------------ Homebuilding (0.2%) ........................................................................................................................ 67,000 Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 67,335 ........................................................................................................................ 180,000 D.R. Horton, Inc. company guaranty 10s, 2006 184,500 ........................................................................................................................ 125,000 D.R. Horton, Inc. company guaranty 8 3/8s, 2004 127,188 ........................................................................................................................ 120,000 Del Webb Corp. sr. sub. deb. 9 3/8s, 2009 126,600 ........................................................................................................................ 155,000 KB Home sr. sub. notes 9 1/2s, 2011 159,650 ........................................................................................................................ 110,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 121,000 ........................................................................................................................ 10,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 10,150 ........................................................................................................................ 140,000 Ryland Group, Inc. sr. notes 9 3/4s, 2010 152,600 ........................................................................................................................ 108,000 Schuler Homes, Inc. company guaranty 9 3/8s, 2009 111,240 ........................................................................................................................ 130,000 Standard Pacific Corp. sr. notes 9 1/2s, 2010 137,800 ........................................................................................................................ 180,000 Toll Corp. company guaranty 8 1/8s, 2009 180,000 ------------------------------------------------------------------------------------------------------------------------ 1,378,063 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.1%) ........................................................................................................................ 280,000 Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011 290,178 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.3%) ........................................................................................................................ 295,000 Felcor Lodging LP company guaranty 9 1/2s, 2008 (R) 296,475 ........................................................................................................................ 370,000 Hilton Hotels Corp. notes 8 1/4s, 2011 382,782 ........................................................................................................................ 610,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 582,550 ........................................................................................................................ 280,000 ITT Corp. notes 6 3/4s, 2005 275,363 ------------------------------------------------------------------------------------------------------------------------ 1,537,170 ------------------------------------------------------------------------------------------------------------------------ Machinery (0.2%) ........................................................................................................................ 130,000 Briggs & Stratton company guaranty 8 7/8s, 2011 136,383 ........................................................................................................................ 180,000 Case Corp. notes 7 1/4s, 2016 140,400 ........................................................................................................................ 960,000 Deere (John) & Co. sr. notes 6.95s, 2014 1,020,184 ------------------------------------------------------------------------------------------------------------------------ 1,296,967 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (--%) ........................................................................................................................ 130,000 Day International Group, Inc. company guaranty 9 1/2s, 2008 100,100 ------------------------------------------------------------------------------------------------------------------------ Media (0.1%) ........................................................................................................................ 525,000 AOL Time Warner, Inc. bonds 7 5/8s, 2031 459,648 ------------------------------------------------------------------------------------------------------------------------ Medical Services (0.1%) ........................................................................................................................ 150,000 AmerisourceBergen Corp. sr. notes 8 1/8s, 2008 154,500 ........................................................................................................................ 110,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/4s, 2008 (In default) (NON) 11 ........................................................................................................................ 100,000 Mediq, Inc. company guaranty 11s, 2008 (In default) (NON) 1,000 ........................................................................................................................ 80,000 Mediq, Inc. deb. stepped-coupon zero % (13s, 6/1/03), 2009 (In default) (NON) (STP) 8 ........................................................................................................................ 130,000 Omnicare, Inc. company guaranty Ser. B, 8 1/8s, 2011 134,550 ........................................................................................................................ 130,000 Quest Diagnostics, Inc. company guaranty 7 1/2s, 2011 141,227 ------------------------------------------------------------------------------------------------------------------------ 431,296 ------------------------------------------------------------------------------------------------------------------------ Metals (0.2%) ........................................................................................................................ 330,000 AK Steel Corp. company guaranty 7 7/8s, 2009 330,000 ........................................................................................................................ 790,000 Alcoa, Inc. notes 6 3/4s, 2028 805,982 ........................................................................................................................ 500,000 LTV Corp. company guaranty 11 3/4s, 2009 (In default) (NON) 2,500 ------------------------------------------------------------------------------------------------------------------------ 1,138,482 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (0.2%) ........................................................................................................................ 70,000 CMS Panhandle Holding Corp. sr. notes 6 1/2s, 2009 53,975 ........................................................................................................................ 600,000 CMS Panhandle Holding Corp. sr. notes 6 1/8s, 2004 530,724 ........................................................................................................................ 440,000 K N Energy, Inc. sr. notes 6.45s, 2003 449,218 ........................................................................................................................ 305,000 Transcontinental Gas Pipeline Corp. notes Ser. B, 7s, 2011 246,510 ------------------------------------------------------------------------------------------------------------------------ 1,280,427 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (0.9%) ........................................................................................................................ 1,045,000 Amerada Hess Corp. notes 5.9s, 2006 1,078,012 ........................................................................................................................ 45,000 AmeriGas Partners LP/AmeriGas Eagle Finance Corp. sr. notes 8 7/8s, 2011 47,025 ........................................................................................................................ 1,045,000 Conoco Funding Co. company guaranty 5.45s, 2006 1,070,979 ........................................................................................................................ 40,000 Devon Financing Corp. ULC company guaranty 6 7/8s, 2011 41,491 ........................................................................................................................ 110,000 Forest Oil Corp. 144A sr. notes 7 3/4s, 2014 106,975 ........................................................................................................................ 840,000 Kerr-McGee Corp. company guaranty 5 3/8s, 2005 860,213 ........................................................................................................................ 50,000 Leviathan Gas Corp. company guaranty Ser. B, 10 3/8s, 2009 52,250 ........................................................................................................................ 90,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 90,000 ........................................................................................................................ 140,000 Ocean Energy, Inc. company guaranty Ser. B, 8 3/8s, 2008 148,081 ........................................................................................................................ 280,000 Pioneer Natural Resources Co. company guaranty 9 5/8s, 2010 313,600 ........................................................................................................................ 29,000 Pioneer Natural Resources Co. company guaranty 7 1/2s, 2012 28,855 ........................................................................................................................ 95,000 Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 95,000 ........................................................................................................................ 785,000 Union Pacific Resources Group, Inc. notes 7.3s, 2009 842,211 ........................................................................................................................ 146,000 Westport Resources Corp. company guaranty 8 1/4s, 2011 148,920 ........................................................................................................................ 199,000 XTO Energy, Inc. sr. notes 7 1/2s, 2012 201,985 ------------------------------------------------------------------------------------------------------------------------ 5,125,597 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (0.2%) ........................................................................................................................ 170,000 Norske Skog Canada, Ltd. company guaranty 8 5/8s, 2011 (Canada) 174,250 ........................................................................................................................ 200,000 Tembec Industries, Inc. company guaranty 8 5/8s, 2009 (Canada) 204,000 ........................................................................................................................ 70,000 Tembec Industries, Inc. company guaranty 8 1/2s, 2011 (Canada) 71,400 ........................................................................................................................ 725,000 Weyerhaeuser Co. 144A notes 6 3/4s, 2012 745,394 ------------------------------------------------------------------------------------------------------------------------ 1,195,044 ------------------------------------------------------------------------------------------------------------------------ Photography/Imaging (0.1%) ........................................................................................................................ 120,000 Xerox Cap Europe PLC company guaranty 5 7/8s, 2004 (United Kingdom) 98,400 ........................................................................................................................ 310,000 Xerox Corp. notes 5 1/2s, 2003 266,600 ........................................................................................................................ 100,000 Xerox Corp. notes Ser. E, 5 1/4s, 2003 86,000 ------------------------------------------------------------------------------------------------------------------------ 451,000 ------------------------------------------------------------------------------------------------------------------------ Power Producers (0.1%) ........................................................................................................................ 170,000 AES Corp. (The) sr. notes 9 3/8s, 2010 110,500 ........................................................................................................................ 160,000 AES Corp. (The) sr. notes 8 7/8s, 2011 102,400 ........................................................................................................................ 23,519 Midland Funding I Corp. deb. Ser. C-94, 10.33s, 2002 23,477 ........................................................................................................................ 195,000 Midland Funding II Corp. deb. Ser. A, 11 3/4s, 2005 177,450 ........................................................................................................................ 180,000 Mirant Americas Generation, Inc. sr. notes 8.3s, 2011 154,800 ........................................................................................................................ 120,000 Tiverton/Rumford Power Associates, LP 144A pass-through certificates 9s, 2018 81,600 ........................................................................................................................ 165,000 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 151,800 ------------------------------------------------------------------------------------------------------------------------ 802,027 ------------------------------------------------------------------------------------------------------------------------ Publishing (--%) ........................................................................................................................ 100,000 Perry-Judd company guaranty 10 5/8s, 2007 97,000 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.4%) ........................................................................................................................ 370,000 Burlington Northern Santa Fe Corp. deb. 7.95s, 2030 421,193 ........................................................................................................................ 415,000 Canadian National Railway Co. bonds 7 3/8s, 2031 (Canada) 448,706 ........................................................................................................................ 120,000 Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 129,600 ........................................................................................................................ 940,000 Union Pacific Corp. notes 7 3/8s, 2009 1,024,055 ------------------------------------------------------------------------------------------------------------------------ 2,023,554 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.2%) ........................................................................................................................ 760,000 EOP Operating LP sr. notes 7s, 2011 790,787 ........................................................................................................................ 80,000 iStar Financial, Inc. sr. notes 8 3/4s, 2008 80,000 ------------------------------------------------------------------------------------------------------------------------ 870,787 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (0.2%) ........................................................................................................................ 460,000 Qwest Capital Funding, Inc. company guaranty 7.9s, 2010 255,300 ........................................................................................................................ 65,000 Qwest Capital Funding, Inc. company guaranty 7 1/4s, 2011 35,750 ........................................................................................................................ 200,000 Qwest Corp. 144A notes 8 7/8s, 2012 178,000 ........................................................................................................................ 510,000 Verizon Global Funding Corp. notes 7 3/4s, 2030 485,612 ------------------------------------------------------------------------------------------------------------------------ 954,662 ------------------------------------------------------------------------------------------------------------------------ Restaurants (0.1%) ........................................................................................................................ 60,000 Tricon Global Restaurants, Inc. sr. notes 8 7/8s, 2011 63,600 ........................................................................................................................ 235,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 238,525 ........................................................................................................................ 90,000 Tricon Global Restaurants, Inc. sr. notes 7.45s, 2005 91,350 ------------------------------------------------------------------------------------------------------------------------ 393,475 ------------------------------------------------------------------------------------------------------------------------ Retail (0.4%) ........................................................................................................................ 162,000 Autonation, Inc. company guaranty 9s, 2008 166,050 ........................................................................................................................ 295,000 Dillards, Inc. notes 6.43s, 2004 288,973 ........................................................................................................................ 120,000 Fleming Companies, Inc. company guaranty 10 1/8s, 2008 122,700 ........................................................................................................................ 150,000 Gap, Inc. (The) notes 6.9s, 2007 134,250 ........................................................................................................................ 430,000 JC Penney Company, Inc. deb. 7.4s, 2037 414,950 ........................................................................................................................ 530,000 JC Penney Company, Inc. notes 7.6s, 2007 519,400 ........................................................................................................................ 68,000 Saks, Inc. company guaranty 8 1/4s, 2008 64,260 ........................................................................................................................ 160,000 Saks, Inc. company guaranty 7 1/2s, 2010 143,200 ........................................................................................................................ 440,000 Sears Roebuck Acceptance Corp. bonds 7s, 2032 415,312 ........................................................................................................................ 70,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 65,100 ........................................................................................................................ 20,000 Southland Corp. sr. sub. deb. 5s, 2003 19,200 ------------------------------------------------------------------------------------------------------------------------ 2,353,395 ------------------------------------------------------------------------------------------------------------------------ Shipping (--%) ........................................................................................................................ 240,000 Navistar International Corp. sr. notes Ser. B, 8s, 2008 235,200 ------------------------------------------------------------------------------------------------------------------------ Technology (--%) ........................................................................................................................ 115,000 Flextronics International, Ltd. sr. sub. notes 9 7/8s, 2010 (Singapore) 119,600 ........................................................................................................................ 80,000 SCG Holding & Semiconductor Corp. company guaranty 12s, 2009 52,400 ------------------------------------------------------------------------------------------------------------------------ 172,000 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.4%) ........................................................................................................................ 6,000 Arch Wireless Holdings, Inc. sec. notes 10s, 2007 4,980 ........................................................................................................................ 3,000 Arch Wireless Holdings, Inc. sub. notes 12s, 2009 2,490 ........................................................................................................................ 455,000 AT&T Corp. notes 6s, 2009 359,450 ........................................................................................................................ 855,000 British Telecommunications PLC bonds 8 7/8s, 2030 (United Kingdom) 919,655 ........................................................................................................................ 100,000 Esprit Telecom Group PLC sr. notes 11 1/2s, 2007 (United Kingdom) (In default) (NON) 250 ........................................................................................................................ 150,000 FLAG, Ltd. 144A sr. notes 8 1/4s, 2008 (Bermuda) (In default) (NON) 7,500 ........................................................................................................................ 360,000 France Telecom notes 8 1/4s, 2011 (France) 318,557 ........................................................................................................................ 20,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 (In default) (NON) 50 ........................................................................................................................ 115,000 PanAmSat Corp. 144A sr. notes 8 1/2s, 2012 106,689 ........................................................................................................................ 90,000 Price Communications Wireless, Inc. 144A sr. notes 9 1/8s, 2006 93,713 ........................................................................................................................ 180,000 Rogers Cablesystems, Ltd. deb. 9 3/8s, 2008 (Canada) 120,600 ........................................................................................................................ 110,000 Rogers Cablesystems, Ltd. sr. sub. notes 8.8s, 2007 (Canada) 69,300 ........................................................................................................................ 80,000 Startec Global Communications Corp. sr. notes 12s, 2008 (In default) (NON) 1,600 ........................................................................................................................ 120,000 World Access, Inc. sr. notes Ser. B, 13 1/4s, 2008 (In default) (NON) 4,200 ------------------------------------------------------------------------------------------------------------------------ 2,009,034 ------------------------------------------------------------------------------------------------------------------------ Telephone (--%) ........................................................................................................................ 70,000 Birch Telecommunications, Inc. sr. notes 14s, 2008 (In default) (NON) 700 ........................................................................................................................ 810,000 WorldCom, Inc.-WorldCom Group notes 7 1/2s, 2011 (In default) (NON) 129,600 ------------------------------------------------------------------------------------------------------------------------ 130,300 ------------------------------------------------------------------------------------------------------------------------ Textiles (--%) ........................................................................................................................ 30,000 Russell Corp. 144A sr. notes 9 1/4s, 2010 30,825 ........................................................................................................................ 40,000 Tommy Hilfiger USA, Inc. company guaranty 6 1/2s, 2003 40,000 ------------------------------------------------------------------------------------------------------------------------ 70,825 ------------------------------------------------------------------------------------------------------------------------ Toys (0.1%) ........................................................................................................................ 290,000 Hasbro, Inc. notes 6.15s, 2008 266,800 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.2%) ........................................................................................................................ 240,000 Allied Waste Industries, Inc. company guaranty Ser. B, 10s, 2009 235,800 ........................................................................................................................ 445,000 Allied Waste Industries, Inc. company guaranty Ser. B, 7 5/8s, 2006 431,650 ........................................................................................................................ 225,000 Browning-Ferris Industries, Inc. deb. 7.4s, 2035 166,500 ........................................................................................................................ 440,000 Waste Management, Inc. sr. notes 7 3/8s, 2010 458,119 ------------------------------------------------------------------------------------------------------------------------ 1,292,069 ------------------------------------------------------------------------------------------------------------------------ Total Corporate Bonds and Notes (cost $67,137,656) $64,212,456 ------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT AGENCY MORTGAGE OBLIGATIONS (6.7%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Federal Home Loan Mortgage Corporation Pass-Through Certificates ........................................................................................................................ $500,658 8 1/2s, July 1, 2028 $538,598 ........................................................................................................................ 1,353,896 7 1/2s, October 1, 2029 1,426,925 ........................................................................................................................ 11,901,186 6s, with due dates from May 1, 2032 to June 1, 2032 11,891,785 ........................................................................................................................ 1,113,828 Federal National Mortgage Association Adjustable Rate Mortgages 6.606s, September 1, 2031 1,165,866 ........................................................................................................................ Federal National Mortgage Association Pass-Through Certificates ........................................................................................................................ 637,053 8s, with due dates from May 1, 2025 to December 1, 2028 679,588 ........................................................................................................................ 523,104 7 1/2s, with due dates from February 1, 2031 to January 1, 2032 549,422 ........................................................................................................................ 141,387 7 1/2s, July 1, 2007 149,184 ........................................................................................................................ 2,653,476 7s, with due dates from March 1, 2029 to January 1, 2032 2,751,098 ........................................................................................................................ 162,492 6 1/2s, with due dates from November 1, 2028 to May 1, 2032 166,085 ........................................................................................................................ 5,744,000 TBA, 6 1/2s, July 1, 2032 5,855,319 ........................................................................................................................ 166,515 6s, with due dates from February 1, 2029 to June 1, 2032 166,540 ........................................................................................................................ 599,000 TBA, 6s, July 1, 2032 597,503 ........................................................................................................................ Government National Mortgage Association Pass-Through Certificates ........................................................................................................................ 18,324 11s, December 15, 2015 20,985 ........................................................................................................................ 2,016,423 8s, with due dates from September 15, 2020 to August 15, 2027 2,172,973 ........................................................................................................................ 800,922 7 1/2s, with due dates from August 15, 2029 to July 15, 2031 845,485 ........................................................................................................................ 77,825 7s, November 15, 2025 81,306 ........................................................................................................................ 3,612,097 6 1/2s, with due dates from December 15, 2027 to February 15, 2032 3,693,415 ........................................................................................................................ 4,505,000 TBA, 6 1/2s, July 1, 2032 4,595,100 ------------------------------------------------------------------------------------------------------------------------ Total U.S. Government and Agency Mortgage Obligations (cost $36,926,643) $37,347,177 ------------------------------------------------------------------------------------------------------------------------ COLLATERALIZED MORTGAGE OBLIGATIONS (1.7%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Amortizing Residential Collateral Trust ........................................................................................................................ $915,000 Ser. 02-BC3, Class A, Interest Only (IO), 6s, 2005 $79,848 ........................................................................................................................ 1,319,000 Ser. 02-BC1, Class A, IO, 6s, 2005 96,709 ........................................................................................................................ 120,000 Ser. 02-BC1, Class M2, FRN, 2.95s, 2032 118,548 ........................................................................................................................ 931,091 Ser. 01-BC6, Class A, IO, 6s, 2004 64,340 ........................................................................................................................ Asset Securitization Corp. ........................................................................................................................ 110,000 Ser. 97-MD7, Class A1B, 7.41s, 2030 119,220 ........................................................................................................................ 145,000 Ser. 96-MD6, Class A1C, 7.04s, 2029 155,246 ........................................................................................................................ Commercial Mortgage Acceptance Corp. ........................................................................................................................ 220,000 Ser. 97-ML1, Class A2, 6.53s, 2007 230,545 ........................................................................................................................ 3,482,455 Ser. 97-ML1, IO, 0.95s, 2017 123,246 ........................................................................................................................ 65,000 Countrywide Home Loan Ser. 98-3, Class A5, 6 3/4s, 2028 67,153 ........................................................................................................................ 90,000 Countrywide Mortgage-Backed Securities, Inc. Ser. 93-C, Class A8, 6 1/2s, 2024 92,109 ........................................................................................................................ 120,000 Criimi Mae Commercial Mortgage Trust Ser. 98-C1, Class A2, 7s, 2011 123,263 ........................................................................................................................ CS First Boston Mortgage Securities Corp. ........................................................................................................................ 2,723,444 Ser. 01-CK6, Class AX, IO, 0.64s, 2018 114,044 ........................................................................................................................ 132,000 Ser. 02-HE16, Class M2, FRN, 7s, 2032 131,340 ........................................................................................................................ 3,758,400 Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class X, IO, 1.22s, 2023 147,400 ........................................................................................................................ 266,912 DLJ Commercial Mortgage Corp. Ser. 00-CKP1, Class A1A, 6.93s, 2009 285,156 ........................................................................................................................ Fannie Mae ........................................................................................................................ 129,397 Ser. 02-36, Class SJ, 15 1/2s, 2031 138,280 ........................................................................................................................ 1,281,579 Ser. 01-T8, Class A1, 7 1/2s, 2031 1,366,484 ........................................................................................................................ 1,086,300 Ser. 01-42, IO, 6 1/2s, 2024 110,273 ........................................................................................................................ 247,241 Ser. 00-4, Class SX, 6 1/2s, 2023 248,477 ........................................................................................................................ 1,508,000 Ser. 01-63, Class PK, IO, 6s, 2021 172,315 ........................................................................................................................ 2,178,552 Ser. 318, Class 2, IO, 6s, 2032 606,591 ........................................................................................................................ 1,415,173 Ser. 02-36, Class QL, IO, 6.31s, 2029 99,283 ........................................................................................................................ 280,360 Ser. 02-36, Class QH, IO, 6.21s, 2031 21,879 ........................................................................................................................ 2,024,523 Ser. 01-T12, IO, 0.5715s, 2041 37,327 ........................................................................................................................ 10,546,649 Ser. 02-T4, IO, 0.4456s, 2041 153,256 ........................................................................................................................ 3,365,521 Ser. 01-50, Class B1, IO, 0.4975s, 2041 61,526 ........................................................................................................................ 1,937,605 Ser. 02-T1, IO, 0.4261s, 2031 26,793 ........................................................................................................................ 114,635 Ser. 01-T10, Principal Only (PO), zero %, 2041 76,232 ........................................................................................................................ 127,741 Ser. 01-T8, PO, zero %, 2031 84,948 ........................................................................................................................ 14,591 Ser. 01-T7, PO, zero %, 2031 9,739 ........................................................................................................................ 11,959 Ser. 00-T6, PO, zero %, 2030 7,982 ........................................................................................................................ 8,378 Ser. 01-T3, PO, zero %, 2029 5,592 ........................................................................................................................ 42,873 Ser. 01-T4, PO, zero %, 2028 28,618 ........................................................................................................................ 2,952 Ser. 01-T1, PO, zero %, 2028 1,971 ........................................................................................................................ 1,045,000 FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027 1,164,468 ........................................................................................................................ 60,652 First Union National Bank Commercial Mortgage Ser. 00-C1, Class A1, 7.739s, 2032 66,376 ........................................................................................................................ Freddie Mac ........................................................................................................................ 462,315 Ser. 2388, Class HI, IO, 6 1/2s, 2021 50,143 ........................................................................................................................ 1,375,924 Ser. 2386, Class PI, IO, 6s, 2020 155,280 ........................................................................................................................ 227,779 General Growth Properties-Mall Properties Trust FRB Ser. 01-C1A, Class D3, 4.09s, 2014 227,779 ........................................................................................................................ 3,391,802 GMAC Commercial Mortgage Securities, Inc. 144A FRN Ser. 01-C1, Class X1, IO, 0.6067s, 2011 132,492 ........................................................................................................................ 126,842 Government National Mortgage Association Ser. 99-42, PO, zero %, 2027 124,186 ........................................................................................................................ 155,000 Granite Mortgages PLC FRN Ser. 01-2, Class 1C, 3.324s, 2041 (United Kingdom) 155,000 ........................................................................................................................ 375,674 LB Commercial Conduit Mortgage Trust Ser. 96-C2, Class A, 7.483s, 2026 391,713 ........................................................................................................................ LB-UBS Commercial Mortgage Trust ........................................................................................................................ 783,700 Ser. 00-C3, Class A1, 7.95s, 2009 866,085 ........................................................................................................................ 3,683,433 Ser. 02-C1, Class XCL, IO, 0.3594s, 2034 84,815 ........................................................................................................................ 2,783,176 LB-UBS Commercial Mortgage Trust 144A Ser. 01-C7, Class XCL, IO, 0.8293s, 2033 111,939 ........................................................................................................................ 132,891 Merrill Lynch Mortgage Investors, Inc. Ser. 99-C1, Class A1, 7.37s, 2008 142,366 ........................................................................................................................ 2,450,000 Morgan Stanley Dean Witter Capital I Ser. 02-HQ, Class X1, IO, 0.6936s, 2034 64,313 ........................................................................................................................ Morgan Stanley Dean Witter Capital I 144A ........................................................................................................................ 64,097 FRB Ser. 01-XLF, Class D, 3.6s, 2013 64,007 ........................................................................................................................ 42,518 FRB Ser. 01-XLF, Class E, 3.314s, 2013 42,073 ........................................................................................................................ 156,000 Mortgage Capital Funding, Inc. Ser. 97-MC1, Class A3, 7.288s, 2027 169,674 ........................................................................................................................ 85,000 Nomura Asset Securities Corp. Ser. 96-MD5, Class A1B, 7.12s, 2036 90,938 ........................................................................................................................ 144,000 Residential Asset Mortgage Products, Inc. Ser. 02-SL1, Class AI3, 7s, 2032 147,713 ........................................................................................................................ 69,798 Salomon Brothers Mortgage Securities VII Ser. 00-C2, Class A1, 7.298s, 2033 75,469 ........................................................................................................................ 1,104,000 Structured Asset Securities Corp. Ser. 02-HF1, Class A, IO, 6s, 2005 91,425 ------------------------------------------------------------------------------------------------------------------------ Total Collateralized Mortgage Obligations (cost $9,579,451) $9,623,987 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE BONDS AND NOTES (1.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Advertising and Marketing Services (--%) ........................................................................................................................ $35,000 Lamar Advertising Co. cv. notes 5 1/4s, 2006 $35,350 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (--%) ........................................................................................................................ 100,000 Kellstrom Industries, Inc. cv. sr. notes 5 1/2s, 2003 (In default) (NON) 1,000 ------------------------------------------------------------------------------------------------------------------------ Automotive (--%) ........................................................................................................................ 218,000 Tower Automotive, Inc. cv. sub. notes 5s, 2004 207,645 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (0.1%) ........................................................................................................................ 80,000 Genzyme Corp. 144A cv. sub. deb. 3s, 2021 64,900 ........................................................................................................................ 110,000 Gilead Sciences, Inc. cv. sr. sub. notes 5s, 2007 168,575 ........................................................................................................................ 520,000 Imclone Systems, Inc. cv. sub. notes 5 1/2s, 2005 362,050 ........................................................................................................................ 170,000 Isis Pharmaceuticals, Inc. 144A cv. sub notes 5 1/2s, 2009 141,313 ------------------------------------------------------------------------------------------------------------------------ 736,838 ------------------------------------------------------------------------------------------------------------------------ Cable Television (--%) ........................................................................................................................ 20,000 Rogers Communications cv. deb. 2s, 2005 (Canada) 15,200 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.1%) ........................................................................................................................ 400,000 Comverse Technology, Inc. 144A cv. sr. notes 1 1/2s, 2005 311,500 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (--%) ........................................................................................................................ 180,000 GenCorp, Inc. 144A cv. sub notes 5 3/4s, 2007 193,275 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (--%) ........................................................................................................................ 130,000 EDO Corp. 144A cv. sub notes 5 1/4s, 2007 150,638 ------------------------------------------------------------------------------------------------------------------------ Electronics (--%) ........................................................................................................................ 400,000 Act Manufacturing, Inc. cv. sub. notes 7s, 2007 (In default) (NON) 10,000 ........................................................................................................................ 499,000 S3, Inc. cv. sub. notes 5 3/4s, 2003 232,659 ------------------------------------------------------------------------------------------------------------------------ 242,659 ------------------------------------------------------------------------------------------------------------------------ Energy (0.1%) ........................................................................................................................ 539,000 Global Marine, Inc. cv. deb. zero %, 2020 276,238 ........................................................................................................................ 249,000 Nabors Industries, Inc. cv. deb. zero %, 2020 158,115 ------------------------------------------------------------------------------------------------------------------------ 434,353 ------------------------------------------------------------------------------------------------------------------------ Health Care (--%) ........................................................................................................................ 70,000 Healthsouth Corp. cv. sub. deb. 3 1/4s, 2003 69,300 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (0.1%) ........................................................................................................................ 360,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 354,600 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.1%) ........................................................................................................................ 670,000 Legg Mason, Inc. 144A cv. Liquid Yield Option Note (LYON) zero %, 2031 319,925 ........................................................................................................................ 390,000 Orix Corp. 144A cv. bonds zero %, 2022 (Japan) 148,688 ------------------------------------------------------------------------------------------------------------------------ 468,613 ------------------------------------------------------------------------------------------------------------------------ Media (--%) ........................................................................................................................ 160,000 AT&T Corp.- Liberty Media Group cv. deb. Class B, 3 1/4s, 2031 151,200 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (0.1%) ........................................................................................................................ 274,000 Charles River Laboratories International, Inc. 144A cv. bonds 3 1/2s, 2022 304,483 ------------------------------------------------------------------------------------------------------------------------ Metals (0.1%) ........................................................................................................................ 495,000 Freeport-McMoRan Copper & Gold, Inc. 144A cv. sr. notes 8 1/4s, 2006 743,119 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (--%) ........................................................................................................................ 131,000 Mail-Well, Inc. cv. sub. notes 5s, 2002 127,889 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (0.1%) ........................................................................................................................ 165,000 Alkermes, Inc. cv. sub. notes 3 3/4s, 2007 104,775 ........................................................................................................................ 170,000 Alza Corp. cv. sub. LYON zero %, 2014 229,925 ........................................................................................................................ 26,000 Aviron cv. sub. notes 5 1/4s, 2008 23,335 ........................................................................................................................ 335,000 Cephalon, Inc. 144A cv. sub. notes 2 1/2s, 2006 277,213 ........................................................................................................................ 205,000 Inhale Therapeutic Systems, Inc. cv. sub. notes 3 1/2s, 2007 106,600 ------------------------------------------------------------------------------------------------------------------------ 741,848 ------------------------------------------------------------------------------------------------------------------------ Photography/Imaging (0.1%) ........................................................................................................................ 1,172,000 Xerox Corp. cv. sub. deb. 0.57s, 2018 697,340 ------------------------------------------------------------------------------------------------------------------------ Restaurants (--%) ........................................................................................................................ 100,000 CKE Restaurants, Inc. cv. sub notes 4 1/4s, 2004 89,250 ------------------------------------------------------------------------------------------------------------------------ Retail (0.1%) ........................................................................................................................ 100,000 Rite Aid Corp. cv. sub. notes 5 1/4s, 2002 98,000 ........................................................................................................................ 255,000 Rite Aid Corp. 144A cv. sr. notes 4 3/4s, 2006 182,963 ........................................................................................................................ 431,000 TJX Companies, Inc. (The) cv. LYON zero %, 2021 328,099 ------------------------------------------------------------------------------------------------------------------------ 609,062 ------------------------------------------------------------------------------------------------------------------------ Software (0.2%) ........................................................................................................................ 250,000 Aether Systems, Inc. cv. sub. notes 6s, 2005 151,563 ........................................................................................................................ 60,000 Aspen Technology, Inc. cv. sub. deb. 5 1/4s, 2005 47,400 ........................................................................................................................ 104,000 Network Associates, Inc. 144A cv. sub. notes 5 1/4s, 2006 137,540 ........................................................................................................................ 395,000 Peregrine Systems, Inc. cv. sub. notes 5 1/2s, 2007 145,656 ........................................................................................................................ 180,000 Symantec Corp. 144A cv. sub notes 3s, 2006 217,575 ........................................................................................................................ 267,000 Wind River Systems, Inc. 144A cv. sub. notes 3 3/4s, 2006 185,899 ------------------------------------------------------------------------------------------------------------------------ 885,633 ------------------------------------------------------------------------------------------------------------------------ Technology Services (--%) ........................................................................................................................ 89,000 Automatic Data Processing, Inc. cv. LYON zero %, 2012 100,014 ........................................................................................................................ 176,000 Safeguard Scientifics, Inc. cv. sub. notes 5s, 2006 113,300 ------------------------------------------------------------------------------------------------------------------------ 213,314 ------------------------------------------------------------------------------------------------------------------------ Tobacco (--%) ........................................................................................................................ 120,000 Vector Group, Ltd. 144A cv. sub. notes 6 1/4s, 2008 88,650 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Bonds and Notes (cost $8,373,821) $7,872,759 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE PREFERRED STOCKS (1.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Automotive (0.2%) ........................................................................................................................ 8,600 Ford Motor Company Capital Trust II $3.25 cum. cv. pfd. $484,825 ........................................................................................................................ 2,900 General Motors Corp. $1.31 cv. pfd. 76,125 ........................................................................................................................ 8,266 Tower Automotive Capital Trust $3.375 cv. pfd. 299,643 ------------------------------------------------------------------------------------------------------------------------ 860,593 ------------------------------------------------------------------------------------------------------------------------ Banking (0.1%) ........................................................................................................................ 3,030 Sovereign Bancorp, Inc. $3.75 cv. pfd. 248,839 ........................................................................................................................ 2,000 Washington Mutual, Inc. $4.00 cv. pfd. 163,500 ------------------------------------------------------------------------------------------------------------------------ 412,339 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.1%) ........................................................................................................................ 5,825 Pegasus Communications Corp. Ser. C, 6.50% cum. cv. pfd. 66,259 ........................................................................................................................ 240 Radio One, Inc. 6.50% cum. cv. pfd. 231,600 ........................................................................................................................ 11,953 Sinclair Broadcast Group, Inc. Ser. D, $3.00 cv. pfd. 463,179 ------------------------------------------------------------------------------------------------------------------------ 761,038 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (--%) ........................................................................................................................ 4,462 Carriage Services Capital Trust $3.50 cv. pfd. 136,091 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.1%) ........................................................................................................................ 9,700 Capital One Financial Corp. $3.125 cv. pfd. 463,175 ------------------------------------------------------------------------------------------------------------------------ Containers (--%) ........................................................................................................................ 200 Owens-Illinois, Inc. $2.375 cv. pfd. 4,550 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (0.1%) ........................................................................................................................ 5,300 FPL Group, Inc. $6.75 cv. pfd. 294,150 ........................................................................................................................ 3,800 TXU Corp. $4.375 cv. pfd 206,150 ------------------------------------------------------------------------------------------------------------------------ 500,300 ------------------------------------------------------------------------------------------------------------------------ Electronics (0.1%) ........................................................................................................................ 8,500 Motorola, Inc. $7.00 cv. pfd. 385,688 ........................................................................................................................ 1,402 Titan Capital Trust $2.875 cum. cv. pfd. 56,080 ------------------------------------------------------------------------------------------------------------------------ 441,768 ------------------------------------------------------------------------------------------------------------------------ Energy (0.1%) ........................................................................................................................ 9,639 Evi, Inc. $2.50 cum. cv. pfd. 479,540 ------------------------------------------------------------------------------------------------------------------------ Engineering & Construction (0.1%) ........................................................................................................................ 8,200 TXI Capital Trust I $2.75 cv. pfd. 283,925 ------------------------------------------------------------------------------------------------------------------------ Food (0.1%) ........................................................................................................................ 6,306 Suiza Capital Trust II $2.75 cv. pfd. 328,700 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (0.1%) ........................................................................................................................ 2,000 Anthem, Inc. $6.00 cv. pfd 166,000 ........................................................................................................................ 2,378 Caremark RX Capital Trust I $3.50 cum. cv. pfd. 270,795 ------------------------------------------------------------------------------------------------------------------------ 436,795 ------------------------------------------------------------------------------------------------------------------------ Insurance (0.1%) ........................................................................................................................ 6,507 ACE, Ltd. $4.125 cum. cv. pfd. 427,835 ........................................................................................................................ 7,900 Travelers Property Casualty Corp. $1.125 cv. pfd. 182,569 ------------------------------------------------------------------------------------------------------------------------ 610,404 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (0.2%) ........................................................................................................................ 3,300 Newfield Exploration Co. $3.25 cv. pfd. 182,738 ........................................................................................................................ 3,767 Unocal Capital Trust $3.125 cum. cv. pfd. 191,175 ........................................................................................................................ 8,880 Vec Trust I $1.937 cum. cv. pfd. 263,070 ........................................................................................................................ 10,420 Western Gas Resources $2.625 cum. cv. pfd. 543,143 ------------------------------------------------------------------------------------------------------------------------ 1,180,126 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.1%) ........................................................................................................................ 3,500 Simon Property Group, Inc. Ser. B, $6.50 cum. cv. pfd. 335,563 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (--%) ........................................................................................................................ 5,115 Broadwing, Inc. Ser. B, $3.375 cum. cv. pfd. 83,119 ........................................................................................................................ 2,566 Global Crossing, Ltd. 6.75% cum. cv. pfd. (Bermuda) 128 ........................................................................................................................ 36 World Access, Inc. 144A Ser. D, zero % cv. pfd. -- ------------------------------------------------------------------------------------------------------------------------ 83,247 ------------------------------------------------------------------------------------------------------------------------ Toys (0.1%) ........................................................................................................................ 6,200 Toys R Us $6.25 cv. pfd. 316,200 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Preferred Stocks (cost $7,959,355) $7,634,354 ------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES (1.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $235,000 Ace Securities Corp. Ser. 01-HE1, Class M2, FRN, 2.19s, 2031 $233,678 ........................................................................................................................ 100,000 Asset Backed Securities Corp. Home Equity Loan Trust Ser. 02-HE2, Class M2, FRN, 2.97s, 2032 100,000 ........................................................................................................................ Asset Backed Securities Corp. Home Equity Loan Trust ........................................................................................................................ 2,156,443 Ser. 01-HE3, Class A, IO, 6 1/2s, 2031 147,975 ........................................................................................................................ 976,000 Ser. 02-HE1, Class A, IO, 6 1/2s, 2032 86,560 ........................................................................................................................ 129,000 Bank One Issuance Trust Ser. 02-C1, Class C1, FRN, 2.801s, 2007 129,000 ........................................................................................................................ 100,000 CNL Funding Ser. 99-1, Class A2, 7.645s, 2014 104,188 ........................................................................................................................ Conseco Finance Securitizations Corp. ........................................................................................................................ 950,000 Ser. 00-4, Class A6, 8.31s, 2032 1,030,519 ........................................................................................................................ 150,000 Ser. 01-04, Class A4, 7.36s, 2019 155,193 ........................................................................................................................ 1,178,450 Ser. 01-1, Class A, IO, 2.5s, 2007 90,760 ........................................................................................................................ 2,464,275 Ser. 01-3, Class A, IO, 2.5s, 2007 207,923 ........................................................................................................................ 1,364,116 Ser. 01-4, Class A, IO, 2 1/2s, 2033 87,363 ........................................................................................................................ 223,339 Ser. 02-1, Class A, 6.681s, 2033 229,306 ........................................................................................................................ 205,000 Ser. 02-2, Class A, IO, 8 1/2s, 2033 72,359 ........................................................................................................................ 1,120,000 Ser. 02-A, Class A, IO, 7 1/4s, 2004 104,160 ........................................................................................................................ 851,420 Conseco Recreational Enthusiast Consumer Trust Ser. 01-A, Class AP, IO, 5s, 2025 64,102 ........................................................................................................................ 785,000 Federal Home Loan Mortgage Corporation Structured Pass-Through Securities Ser. T-40, Class S, IO, 6s, 2004 66,112 ........................................................................................................................ 282,390 First Plus 144A Ser. 98-A, Class A, 8 1/2s, 2023 186,377 ........................................................................................................................ 945,000 Green Tree Financial Corp. Ser. 99-5, Class A5, 7.86s, 2029 990,041 ........................................................................................................................ 180,000 Greenpoint Manufactured Housing Ser. 99-5, Class A4, 7.59s, 2028 187,240 ........................................................................................................................ 105,000 Home Equity Asset Trust Ser. 02-1, Class M2, 3.24s, 2032 104,491 ........................................................................................................................ 225,000 Hyundai Auto Receivables Trust Ser. 01-A, Class D, 6 1/4s, 2008 229,860 ........................................................................................................................ Morgan Stanley Dean Witter Capital I ........................................................................................................................ 231,300 Ser. 01-AM1, Class M2, FRN, 3.24s, 2032 231,300 ........................................................................................................................ 35,000 Ser. 02-AM2, Class B1, FRN, 4.09s, 2032 34,765 ........................................................................................................................ 100,000 Ser. 02-HE1, Class B1, 3.64s, 2013 98,300 ........................................................................................................................ 281,195 Oakwood Mortgage Investors, Inc. Ser. 01-E, Class A, IO, 6s, 2009 65,202 ........................................................................................................................ 3,028,000 Residential Asset Securities Corp. Ser. 02-KS4, Class AI, IO, 5s, 2004 156,107 ........................................................................................................................ 2,555,000 Residential Asset Securities Corp. IO, Ser. 01-KS3, Class A, 5s, 2004 125,754 ........................................................................................................................ 100,000 TIAA Commercial Real Estate Securitization Ser. 02-1A, Class III, FRN, 7.6s, 2037 101,219 ........................................................................................................................ 267,115 Xerox Equipment Lease Owner Trust 144A FRB Ser. 01-1, Class A, 3.84s, 2008 266,990 ------------------------------------------------------------------------------------------------------------------------ Total Asset-Backed Securities (cost $5,974,863) $5,686,844 ------------------------------------------------------------------------------------------------------------------------ FOREIGN GOVERNMENT BONDS AND NOTES (0.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $1,350,000 Ontario (Province of) sr. unsub. 5 1/2s, 2008 (Canada) $1,398,965 ........................................................................................................................ 555,000 Quebec (Province of) sr. unsub. 5 3/4s, 2009 (Canada) 575,041 ------------------------------------------------------------------------------------------------------------------------ Total Foreign Government Bonds and Notes (cost $1,841,499) $1,974,006 ------------------------------------------------------------------------------------------------------------------------ PREFERRED STOCKS (0.2%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 11,000 California Federal Bancorp, Inc. Ser. A, $2.281 pfd. $287,210 ........................................................................................................................ 40,000 CSBI Capital Trust I 144A company guaranty Ser. A, 11.75% pfd. 44,800 ........................................................................................................................ 820,000 First Union Capital II Ser. A, 7.95% pfd. 884,173 ........................................................................................................................ 1 Intermedia Communications, Inc. Ser. B, 13.50% pfd. (PIK) 50 ------------------------------------------------------------------------------------------------------------------------ Total Preferred Stocks (cost $1,084,856) $1,216,233 ------------------------------------------------------------------------------------------------------------------------ UNITS (0.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Number Of Units Value ........................................................................................................................ 7,800 Citizens Communications Co. Unit $1.688 cv. pfd. $149,175 ........................................................................................................................ 2,600 Infosys Technologies, Ltd. 144A Structured Call Warrants (Issued by UBS AG), expiration 7/16/02 (India) 175,379 ........................................................................................................................ 3,700 Sierra Pacific Resources Ser. UNIT, $4.50 cv. pfd. 147,075 ........................................................................................................................ 2,900 Singapore Press Holdings, Ltd. Structured Warrants (issued by Merrill Lynch Intl. & Co. CV), expiration 6/12/03 (Singapore) 32,671 ------------------------------------------------------------------------------------------------------------------------ Total Units (cost $617,150) $504,300 ------------------------------------------------------------------------------------------------------------------------ WARRANTS (--%) (a) (NON) ------------------------------------------------------------------------------------------------------------------------ Expiration Number of Warrants Date Value ........................................................................................................................ 70 Birch Telecommunications, Inc. 144A (PIK) 6/15/08 $1 ........................................................................................................................ 40 Club Regina, Inc. 144A 12/1/04 1 ........................................................................................................................ 1,389 Delta Financial Corp. 12/21/10 1 ........................................................................................................................ 1,800 Diva Systems Corp. 144A 3/1/08 18 ........................................................................................................................ 1,130 Genesis Health Ventures, Inc. 10/1/02 1,524 ........................................................................................................................ 180 Horizon PCS, Inc. 10/1/10 225 ........................................................................................................................ 100 IWO Holdings, Inc. 1/15/11 25 ........................................................................................................................ 80 Mediq, Inc. 144A 6/1/09 1 ........................................................................................................................ 70 Pliant Corp. 144A 6/1/10 140 ........................................................................................................................ 80 Startec Global Communications Corp. 5/15/08 1 ........................................................................................................................ 150 UIH Australia/Pacific, Inc. 144A 5/15/06 2 ........................................................................................................................ 2,153 United Artists Theatre 3/2/08 21,358 ........................................................................................................................ 10 Versatel Telecom NV (Netherlands) 5/15/08 5 ------------------------------------------------------------------------------------------------------------------------ Total Warrants (cost $339,023) $23,302 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (19.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $4,000,000 Spintab AB for an effective yield of 2.0%, July 16, 2002 $3,996,667 ........................................................................................................................ 8,035,000 US Treasury Bill for an effective yield of 1.70% December 12, 2002 (SEG) 7,973,777 ........................................................................................................................ 7,912,091 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) 7,907,284 ........................................................................................................................ 86,547,146 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 86,547,146 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $106,424,874) $106,424,874 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $588,160,329) (b) $563,960,186 ------------------------------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 2002 (Unaudited) (aggregate face value $63,372,255) ------------------------------------------------------------------------------ Unrealized Market Aggregate Delivery Appreciation/ Value Face Value Date (Depreciation) .............................................................................. Australian Dollars $14,584,598 $14,787,169 9/18/02 $(202,571) .............................................................................. British Pounds 15,807,037 15,150,136 9/18/02 656,901 .............................................................................. Canadian Dollars 14,315,921 14,195,732 9/18/02 120,189 .............................................................................. Euro 9,197,617 8,826,706 9/18/02 370,911 .............................................................................. Norwegian Krone 4,376,860 4,163,808 9/18/02 213,052 .............................................................................. Swedish Krona 4,541,212 4,381,852 9/18/02 159,360 .............................................................................. Swiss Francs 1,895,401 1,866,852 9/18/02 28,549 ------------------------------------------------------------------------------ $1,346,391 ------------------------------------------------------------------------------ Forward Currency Contracts to Sell at June 30, 2002 (Unaudited) (aggregate face value $77,333,849) ------------------------------------------------------------------------------ Unrealized Market Aggregate Delivery Appreciation/ Value Face Value Date (Depreciation) .............................................................................. Australian Dollars $1,799,950 $1,824,950 9/18/02 $25,000 .............................................................................. British Pounds 18,954,566 18,169,864 9/18/02 (784,702) .............................................................................. Canadian Dollars 2,638,452 2,613,534 9/18/02 (24,918) .............................................................................. Euro 31,757,921 30,339,941 9/18/02 (1,417,980) .............................................................................. Hong Kong Dollars 1,569,271 1,569,462 9/18/02 191 .............................................................................. Japanese Yen 12,541,417 12,096,970 9/18/02 (444,447) .............................................................................. Singapore Dollars 1,249,504 1,226,741 9/18/02 (22,763) .............................................................................. Swedish Krona 2,867,952 2,700,747 9/18/02 (167,205) .............................................................................. Swiss Francs 7,108,424 6,791,640 9/18/02 (316,784) ------------------------------------------------------------------------------ $(3,153,608) ------------------------------------------------------------------------------ Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Unrealized Market Aggregate Expiration Appreciation/ Value Face Value Date (Depreciation) .............................................................................. CBT Interest Rate Swap 10 yr (Short) $2,598,438 $2,586,923 Sep-02 $(11,515) .............................................................................. Dow Jones Euro Stoxx 50 (Short) 11,533,718 11,714,782 Sep-02 181,064 .............................................................................. Euro 90 day (Short) 44,610,475 44,599,027 Sep-02 (11,448) .............................................................................. FTSE 100 Index (Short) 5,318,379 5,390,643 Sep-02 72,264 .............................................................................. Hang Seng Stock Index (Short) 680,137 682,145 Jul-02 2,008 .............................................................................. Russell 2000 Index (Long) 14,595,525 14,497,968 Sep-02 97,557 .............................................................................. Russell 2000 Index (Short) 27,801,000 27,638,490 Sep-02 (162,510) .............................................................................. S&P 500 Index (Long) 100,990,200 101,889,031 Sep-02 (898,831) .............................................................................. S&P/Toronto Stock Exchange 60 Index (Short) 1,586,007 1,621,791 Sep-02 35,784 .............................................................................. SPI 200 Index (Short) 1,572,132 1,574,940 Sep-02 2,808 .............................................................................. Tokyo Price Index (Short) 6,720,108 7,187,814 Sep-02 467,706 .............................................................................. U.S. Treasury Bond (Short) 719,469 707,845 Sep-02 (11,624) .............................................................................. U.S. Treasury Note 2 yr (Short) 629,859 624,362 Sep-02 (5,497) .............................................................................. U.S. Treasury Note 5 yr (Long) 2,578,125 2,549,305 Sep-02 28,820 .............................................................................. U.S. Treasury Note 10 yr (Long) 3,324,266 3,255,625 Sep-02 68,641 .............................................................................. U.S. Treasury Note 10 yr (Short) 9,865,562 9,776,669 Sep-02 (88,893) ------------------------------------------------------------------------------ $(233,666) ------------------------------------------------------------------------------ TBA Sale Commitments at June 30, 2002 (Unaudited) (proceeds receivable $4,759,772) ------------------------------------------------------------------------------ Principal Settlement Market Agency Amount Date Value .............................................................................. FHLMC, 6s, July 1, 2032 $4,260,000 7/15/02 $4,250,670 .............................................................................. FNMA, 6 1/2s, July 1, 2032 165,000 7/15/02 168,198 .............................................................................. FNMA, 6s, July 1, 2032 339,000 7/15/02 338,153 ------------------------------------------------------------------------------ $4,757,021 ------------------------------------------------------------------------------ Swap Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Unrealized Notional Termination Appreciation/ Amount Date (Depreciation) .............................................................................. Agreement with J.P. Morgan Securities, Inc. dated March 26, 2001 to receive (pay) monthly the notional amount multiplied by the return of the Lehman Brothers U.S. Government Bond Index, adjusted by a specified spread and pay (receive) monthly the notional amount multiplied by USD LIBOR-BBA adjusted by a specified spread. $80,367,928 4/2/03 $950,046 .............................................................................. Agreement with Morgan Stanley & Company International, Ltd. dated May 13, 2002 to pay monthly the price depreciation on the Russell 1000 Value Index plus one month USD LIBOR adjusted by a specified spread and receive monthly the price appreciation on the Russell 1000 Value Index plus dividends. 11,449,487 5/16/03 (247,533) .............................................................................. Agreement with Morgan Stanley & Company International, Ltd. dated May 13, 2002 to pay monthly the price appreciation on the Russell 1000 Growth Index plus specified dividends and receive monthly the price depreciation on the Russell 1000 Growth Index plus one month USD LIBOR adjusted by a specified spread. 11,195,057 5/16/03 474,214 ------------------------------------------------------------------------------ $1,176,727 ------------------------------------------------------------------------------ Written Options Outstanding at June 30, 2002 (Unaudited) (premiums received $194,848) ------------------------------------------------------------------------------ Contract Expiration Date/ Market Amount Strike Price Value .............................................................................. 1,500,000 JPMorgan HYDI Bond OTC option (Put) May 07/ 100 USD $254,700 ------------------------------------------------------------------------------ DIVERSIFICATION BY COUNTRY ------------------------------------------------------------------------------ Distribution of investments by country of issue at June 30, 2002: (as percentage of Market Value) ------------------------------------------------------------------------------ Canada 1.4% .............................................................................. France 2.8 .............................................................................. Germany 1.3 .............................................................................. Japan 2.9 .............................................................................. Netherlands 1.2 .............................................................................. South Korea 1.4 .............................................................................. Switzerland 1.5 .............................................................................. United Kingdom 4.3 .............................................................................. United States 78.8 .............................................................................. Other 4.4 ------------------------------------------------------------------------------ Total 100.0% ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Global Growth Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (99.6%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Advertising and Marketing Services (1.6%) ........................................................................................................................ 1,004,880 Havas Advertising SA (France) $6,181,521 ........................................................................................................................ 226,700 Interpublic Group Companies, Inc. 5,613,092 ........................................................................................................................ 83,900 Omnicom Group, Inc. 3,842,620 ------------------------------------------------------------------------------------------------------------------------ 15,637,233 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (0.8%) ........................................................................................................................ 1,496,600 BAE Systems PLC (United Kingdom) 7,640,742 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.4%) ........................................................................................................................ 252,100 Southwest Airlines Co. 4,073,936 ------------------------------------------------------------------------------------------------------------------------ Automotive (2.2%) ........................................................................................................................ 149,000 Honda Motor Co., Ltd. (Japan) 6,042,053 ........................................................................................................................ 571,400 Toyota Motor Corp. (Japan) 15,161,051 ------------------------------------------------------------------------------------------------------------------------ 21,203,104 ------------------------------------------------------------------------------------------------------------------------ Banking (10.4%) ........................................................................................................................ 445,200 Abbey National PLC (United Kingdom) 5,237,903 ........................................................................................................................ 497,500 Bank of New York Company, Inc. (The) 16,790,625 ........................................................................................................................ 254,600 Comerica, Inc. 15,632,440 ........................................................................................................................ 498,500 Danske Bank A/S (Denmark) 9,180,906 ........................................................................................................................ 5,582,700 Grupo Financiero BBVA Bancomer SA de CV (Mexico) (NON) 4,566,132 ........................................................................................................................ 65,300 M&T Bank Corp. 5,600,128 ........................................................................................................................ 856,800 Nordea AB (Sweden) 4,663,060 ........................................................................................................................ 1,219,000 Overseas-Chinese Banking Corp. (Singapore) 8,074,219 ........................................................................................................................ 1,013,700 U.S. Bancorp 23,669,895 ........................................................................................................................ 99,000 Wells Fargo & Co. 4,955,940 ------------------------------------------------------------------------------------------------------------------------ 98,371,248 ------------------------------------------------------------------------------------------------------------------------ Beverage (1.8%) ........................................................................................................................ 335,400 Companhia de Bebidas das Americas (AmBev) ADR (Brazil) 5,212,116 ........................................................................................................................ 472,600 Diageo PLC (United Kingdom) 6,136,465 ........................................................................................................................ 716,600 South African Breweries PLC (United Kingdom) 5,607,925 ------------------------------------------------------------------------------------------------------------------------ 16,956,506 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.8%) ........................................................................................................................ 312,100 Comcast Corp. Class A (NON) 7,440,464 ------------------------------------------------------------------------------------------------------------------------ Chemicals (2.0%) ........................................................................................................................ 193,100 BASF AG (Germany) 8,951,813 ........................................................................................................................ 72,780 Ciba Specialty Chemicals AG (Switzerland) 5,833,455 ........................................................................................................................ 69,800 Syngenta AG (Switzerland) 4,196,539 ------------------------------------------------------------------------------------------------------------------------ 18,981,807 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (1.5%) ........................................................................................................................ 473,375 Autostrade SpA (Italy) 3,926,248 ........................................................................................................................ 91,000 SECOM Company, Ltd. (Japan) 4,464,581 ........................................................................................................................ 409,200 ServiceMaster Co. (The) 5,614,224 ------------------------------------------------------------------------------------------------------------------------ 14,005,053 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.9%) ........................................................................................................................ 568,700 Nokia OYJ ADR (Finland) 8,234,776 ------------------------------------------------------------------------------------------------------------------------ Computers (2.3%) ........................................................................................................................ 391,000 Dell Computer Corp. (NON) 10,220,740 ........................................................................................................................ 484,700 Hewlett-Packard Co. 7,406,216 ........................................................................................................................ 80,800 Lexmark International, Inc. (NON) 4,395,520 ------------------------------------------------------------------------------------------------------------------------ 22,022,476 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (1.2%) ........................................................................................................................ 122,276 General Electric Co. 3,552,118 ........................................................................................................................ 552,000 Tyco International, Ltd. (Bermuda) 7,457,520 ------------------------------------------------------------------------------------------------------------------------ 11,009,638 ------------------------------------------------------------------------------------------------------------------------ Construction (1.6%) ........................................................................................................................ 119,002 Cemex SA de CV ADR (Mexico) 3,136,893 ........................................................................................................................ 123,700 Lafarge (France) 12,336,279 ------------------------------------------------------------------------------------------------------------------------ 15,473,172 ------------------------------------------------------------------------------------------------------------------------ Consumer Cyclicals (1.7%) ........................................................................................................................ 365,300 Cie Financier Richemont AG (Switzerland) 8,311,201 ........................................................................................................................ 2,699,300 Dixons Group PLC (United Kingdom) 7,867,515 ------------------------------------------------------------------------------------------------------------------------ 16,178,716 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (2.1%) ........................................................................................................................ 72,000 Acom Co., Ltd. (Japan) 4,920,150 ........................................................................................................................ 464,900 MBNA Corp. 15,374,243 ------------------------------------------------------------------------------------------------------------------------ 20,294,393 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.6%) ........................................................................................................................ 225,400 Estee Lauder Companies, Inc. (The) Class A 7,934,080 ........................................................................................................................ 92,400 Fortune Brands, Inc. 5,174,400 ........................................................................................................................ 136,400 Reckitt Benckiser PLC (United Kingdom) 2,446,672 ------------------------------------------------------------------------------------------------------------------------ 15,555,152 ------------------------------------------------------------------------------------------------------------------------ Consumer Staples (0.8%) ........................................................................................................................ 113,000 Fuji Photo Film Companies, Ltd. (Japan) 3,648,811 ........................................................................................................................ 969,300 Tesco PLC (United Kingdom) 3,523,153 ------------------------------------------------------------------------------------------------------------------------ 7,171,964 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (3.1%) ........................................................................................................................ 78,800 E.On AG (Germany) 4,590,620 ........................................................................................................................ 103,700 Edison International (NON) 1,762,900 ........................................................................................................................ 199,000 Entergy Corp. 8,445,560 ........................................................................................................................ 135,300 FPL Group, Inc. 8,116,647 ........................................................................................................................ 384,700 Iberdrola SA (Spain) 5,602,829 ........................................................................................................................ 46,300 PG&E Corp. (NON) 828,307 ------------------------------------------------------------------------------------------------------------------------ 29,346,863 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (1.2%) ........................................................................................................................ 208,400 Emerson Electric Co. 11,151,484 ------------------------------------------------------------------------------------------------------------------------ Electronics (2.7%) ........................................................................................................................ 200,100 Intel Corp. 3,655,827 ........................................................................................................................ 113,200 Murata Manufacturing Company, Ltd. (Japan) 7,272,758 ........................................................................................................................ 400 OMRON Corp. (Japan) 5,791 ........................................................................................................................ 44,880 Samsung Electronics Company, Ltd. (South Korea) 12,294,355 ........................................................................................................................ 1,155,900 Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) (NON) 2,356,151 ------------------------------------------------------------------------------------------------------------------------ 25,584,882 ------------------------------------------------------------------------------------------------------------------------ Energy (0.5%) ........................................................................................................................ 166,000 GlobalSantaFe Corp. 4,540,100 ------------------------------------------------------------------------------------------------------------------------ Engineering & Construction (0.6%) ........................................................................................................................ 199,000 Bouygues SA (France) 5,558,776 ------------------------------------------------------------------------------------------------------------------------ Financial (5.8%) ........................................................................................................................ 742,100 Citigroup, Inc. 28,756,375 ........................................................................................................................ 75,637 Fannie Mae 5,578,229 ........................................................................................................................ 335,200 Freddie Mac 20,514,240 ------------------------------------------------------------------------------------------------------------------------ 54,848,844 ------------------------------------------------------------------------------------------------------------------------ Food (1.8%) ........................................................................................................................ 74,900 Nestle SA (Switzerland) 17,468,947 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.6%) ........................................................................................................................ 98,100 International Game Technology (NON) 5,562,270 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (2.6%) ........................................................................................................................ 137,900 Cardinal Health, Inc. 8,468,439 ........................................................................................................................ 197,100 HCA, Inc. 9,362,250 ........................................................................................................................ 79,200 UnitedHealth Group, Inc. 7,250,760 ------------------------------------------------------------------------------------------------------------------------ 25,081,449 ------------------------------------------------------------------------------------------------------------------------ Insurance (5.1%) ........................................................................................................................ 50,022 ACE, Ltd. (Bermuda) 1,580,695 ........................................................................................................................ 47,052 Allianz AG (Germany) 9,421,915 ........................................................................................................................ 573,240 ING Groep NV (Netherlands) 14,716,447 ........................................................................................................................ 68,240 Muenchener Rueckversicherungs- Gesellschaft AG (Germany) 16,137,552 ........................................................................................................................ 78,400 Radian Group, Inc. 3,829,840 ........................................................................................................................ 34,800 XL Capital, Ltd. Class A (Bermuda) 2,947,560 ------------------------------------------------------------------------------------------------------------------------ 48,634,009 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (2.0%) ........................................................................................................................ 154,279 Federated Investors, Inc. 5,333,425 ........................................................................................................................ 60,600 Franklin Resources, Inc. 2,583,984 ........................................................................................................................ 76,000 Goldman Sachs Group, Inc. (The) 5,574,600 ........................................................................................................................ 309,300 Stilwell Financial, Inc. 5,629,260 ------------------------------------------------------------------------------------------------------------------------ 19,121,269 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (1.0%) ........................................................................................................................ 157,100 Carnival Corp. 4,350,099 ........................................................................................................................ 797,800 P&O Princess Cruises PLC (United Kingdom) 5,045,766 ------------------------------------------------------------------------------------------------------------------------ 9,395,865 ------------------------------------------------------------------------------------------------------------------------ Machinery (0.1%) ........................................................................................................................ 23,550 Ingersoll-Rand Co. Class A (Bermuda) 1,075,293 ------------------------------------------------------------------------------------------------------------------------ Media (1.5%) ........................................................................................................................ 576,500 Liberty Media Corp. Class A (NON) 5,765,000 ........................................................................................................................ 469,200 Walt Disney Co. (The) 8,867,880 ------------------------------------------------------------------------------------------------------------------------ 14,632,880 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (0.7%) ........................................................................................................................ 155,600 Medtronic, Inc. 6,667,460 ------------------------------------------------------------------------------------------------------------------------ Metals (2.3%) ........................................................................................................................ 1,455,900 BHP Billiton PLC (United Kingdom) 7,932,180 ........................................................................................................................ 109,400 Companhia Vale do Rio Doce (CVRD) ADR (Brazil) (NON) 3,027,098 ........................................................................................................................ 610,600 Rio Tinto PLC (United Kingdom) 11,194,569 ------------------------------------------------------------------------------------------------------------------------ 22,153,847 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (7.2%) ........................................................................................................................ 317,800 Exxon Mobil Corp. 13,004,376 ........................................................................................................................ 158,400 Petroleo Brasileiro SA ADR (Brazil) 2,987,424 ........................................................................................................................ 27,600 Royal Dutch Petroleum Co. (Netherlands) 1,537,026 ........................................................................................................................ 2,185,900 Shell Transport & Trading Company PLC (United Kingdom) 16,489,992 ........................................................................................................................ 212,200 TotalFinaElf SA Class B (France) 34,446,120 ------------------------------------------------------------------------------------------------------------------------ 68,464,938 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (0.7%) ........................................................................................................................ 163,400 UPM-Kymmene OYJ (Finland) 6,431,059 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (7.9%) ........................................................................................................................ 440,600 AstraZeneca PLC (United Kingdom) 18,237,245 ........................................................................................................................ 99,000 Lilly (Eli) & Co. 5,583,600 ........................................................................................................................ 629,300 Pfizer, Inc. 22,025,500 ........................................................................................................................ 372,500 Pharmacia Corp. 13,950,125 ........................................................................................................................ 158,810 Sanofi-Synthelabo SA (France) 9,659,434 ........................................................................................................................ 227,200 Schering-Plough Corp. 5,589,120 ------------------------------------------------------------------------------------------------------------------------ 75,045,024 ------------------------------------------------------------------------------------------------------------------------ Publishing (0.7%) ........................................................................................................................ 517,000 Reed Elsevier NV (Netherlands) 7,044,704 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.3%) ........................................................................................................................ 24,500 Burlington Northern Santa Fe Corp. 735,000 ........................................................................................................................ 29,000 Union Pacific Corp. 1,835,120 ------------------------------------------------------------------------------------------------------------------------ 2,570,120 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.8%) ........................................................................................................................ 241,400 Equity Office Properties Trust (R) 7,266,140 ------------------------------------------------------------------------------------------------------------------------ Retail (0.9%) ........................................................................................................................ 215,000 Office Depot, Inc. (NON) 3,612,000 ........................................................................................................................ 252,000 TJX Companies, Inc. (The) 4,941,720 ------------------------------------------------------------------------------------------------------------------------ 8,553,720 ------------------------------------------------------------------------------------------------------------------------ Software (3.5%) ........................................................................................................................ 77,100 BMC Software, Inc. (NON) 1,279,860 ........................................................................................................................ 473,400 Microsoft Corp. (NON) 25,894,980 ........................................................................................................................ 65,987 Network Associates, Inc. (NON) 1,271,569 ........................................................................................................................ 134,800 Symantec Corp. (NON) 4,428,180 ------------------------------------------------------------------------------------------------------------------------ 32,874,589 ------------------------------------------------------------------------------------------------------------------------ Technology Services (1.2%) ........................................................................................................................ 85,880 Automatic Data Processing, Inc. 3,740,074 ........................................................................................................................ 524,300 KPMG Consulting, Inc. (NON) 7,791,098 ------------------------------------------------------------------------------------------------------------------------ 11,531,172 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (4.6%) ........................................................................................................................ 6,313 NTT DoCoMo, Inc. (Japan) 15,538,882 ........................................................................................................................ 30,250 SK Telecom Company, Ltd. (South Korea) 6,787,989 ........................................................................................................................ 1,902,803 Telecom Corp. of New Zealand, Ltd. (New Zealand) 4,551,573 ........................................................................................................................ 272,300 Telefonos de Mexico SA de CV (Telmex) ADR Class L (Mexico) 8,735,384 ........................................................................................................................ 6,203,583 Vodafone Group PLC (United Kingdom) 8,508,834 ------------------------------------------------------------------------------------------------------------------------ 44,122,662 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.4%) ........................................................................................................................ 113,200 Jones Apparel Group, Inc. (NON) 4,245,000 ------------------------------------------------------------------------------------------------------------------------ Tobacco (4.5%) ........................................................................................................................ 686,500 Altadis SA (Spain) 14,167,067 ........................................................................................................................ 437,500 Korea Tobacco & Ginseng Corp. GDR (South Korea) 2,839,375 ........................................................................................................................ 589,200 Philip Morris Companies, Inc. 25,736,256 ------------------------------------------------------------------------------------------------------------------------ 42,742,698 ------------------------------------------------------------------------------------------------------------------------ Waste Management (1.3%) ........................................................................................................................ 481,800 Waste Management, Inc. 12,550,890 ------------------------------------------------------------------------------------------------------------------------ Water Utilities (0.3%) ........................................................................................................................ 88,000 Vivendi Environnement (France) 2,715,350 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $1,019,481,407) $947,232,684 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (2.6%) (a) (cost $24,383,010) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $24,397,834 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $24,383,010 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $1,043,864,417) (b) $971,615,694 ------------------------------------------------------------------------------------------------------------------------
Diversification by Country ------------------------------------------------------------------------------ Distribution of investments by country of issue at June 30, 2002 (as percentage of Market Value) ------------------------------------------------------------------------------ Bermuda 1.3% .............................................................................. Brazil 1.2 .............................................................................. Denmark 0.9 .............................................................................. Finland 1.5 .............................................................................. France 7.3 .............................................................................. Germany 4.0 .............................................................................. Japan 5.9 .............................................................................. Mexico 1.7 .............................................................................. Netherlands 2.4 .............................................................................. Singapore 0.8 .............................................................................. South Korea 2.9 .............................................................................. Spain 2.0 .............................................................................. Switzerland 3.7 .............................................................................. United Kingdom 10.9 .............................................................................. United States 49.4 .............................................................................. Other 4.1 ------------------------------------------------------------------------------ Total 100.0% ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Growth and Income Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (98.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Aerospace and Defense (2.4%) ........................................................................................................................ 1,387,187 Boeing Co. (The) $62,423,415 ........................................................................................................................ 234,395 Goodrich Corp. 6,403,671 ........................................................................................................................ 498,902 Lockheed Martin Corp. 34,673,689 ........................................................................................................................ 646,400 Rockwell Collins, Inc. 17,724,288 ........................................................................................................................ 588,870 United Technologies Corp. 39,984,273 ------------------------------------------------------------------------------------------------------------------------ 161,209,336 ------------------------------------------------------------------------------------------------------------------------ Agriculture (--%) ........................................................................................................................ 126,655 Monsanto Co. 2,254,459 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.1%) ........................................................................................................................ 412,810 Southwest Airlines Co. 6,671,010 ------------------------------------------------------------------------------------------------------------------------ Automotive (0.8%) ........................................................................................................................ 1,852,721 Ford Motor Co. 29,643,536 ........................................................................................................................ 218,000 General Motors Corp. 11,652,100 ........................................................................................................................ 212,607 Lear Corp. (NON) 9,833,074 ------------------------------------------------------------------------------------------------------------------------ 51,128,710 ------------------------------------------------------------------------------------------------------------------------ Banking (11.5%) ........................................................................................................................ 1,975,493 Bank of America Corp. 138,995,687 ........................................................................................................................ 1,459,105 Bank of New York Company, Inc. (The) 49,244,794 ........................................................................................................................ 1,271,135 Bank One Corp. 48,913,275 ........................................................................................................................ 353,811 BB&T Corp. 13,657,105 ........................................................................................................................ 279,000 Charter One Financial, Inc. 9,592,020 ........................................................................................................................ 740,860 Comerica, Inc. 45,488,804 ........................................................................................................................ 231,000 Fifth Third Bancorp 15,396,150 ........................................................................................................................ 226,343 First Tennessee National Corp. 8,668,937 ........................................................................................................................ 1,422,167 FleetBoston Financial Corp. 46,007,102 ........................................................................................................................ 167,500 M&T Bank Corp. 14,364,800 ........................................................................................................................ 271,000 Mellon Financial Corp. 8,517,530 ........................................................................................................................ 617,805 National City Corp. 20,542,016 ........................................................................................................................ 140,154 PNC Financial Services Group 7,327,251 ........................................................................................................................ 507,600 Sovereign Bancorp, Inc. 7,588,620 ........................................................................................................................ 148,504 SunTrust Banks, Inc. 10,056,691 ........................................................................................................................ 653,000 Synovus Financial Corp. 17,970,560 ........................................................................................................................ 5,035,130 U.S. Bancorp 117,570,286 ........................................................................................................................ 958,640 Wachovia Corp. 36,600,875 ........................................................................................................................ 1,501,662 Washington Mutual, Inc. 55,726,677 ........................................................................................................................ 2,249,792 Wells Fargo & Co. 112,624,588 ........................................................................................................................ 64,037 Zions Bancorporation 3,336,328 ------------------------------------------------------------------------------------------------------------------------ 788,190,096 ------------------------------------------------------------------------------------------------------------------------ Beverage (3.1%) ........................................................................................................................ 1,224,373 Anheuser-Busch Companies, Inc. 61,218,650 ........................................................................................................................ 2,310,236 Coca-Cola Co. (The) 129,373,216 ........................................................................................................................ 780,041 Coca-Cola Enterprises, Inc. 17,223,305 ........................................................................................................................ 69,000 Pepsi Bottling Group, Inc. (The) 2,125,200 ........................................................................................................................ 74,339 PepsiCo, Inc. 3,583,140 ------------------------------------------------------------------------------------------------------------------------ 213,523,511 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.2%) ........................................................................................................................ 336,929 Viacom, Inc. Class B (NON) 14,949,540 ------------------------------------------------------------------------------------------------------------------------ Building Materials (--%) ........................................................................................................................ 24,139 Vulcan Materials Co. 1,057,288 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.1%) ........................................................................................................................ 357,000 Comcast Corp. Class A (NON) 8,510,880 ------------------------------------------------------------------------------------------------------------------------ Chemicals (2.3%) ........................................................................................................................ 209,181 3M Co. 25,729,263 ........................................................................................................................ 231,000 Avery Dennison Corp. 14,495,250 ........................................................................................................................ 750,000 Dow Chemical Co. (The) 25,785,000 ........................................................................................................................ 1,166,933 E.I. du Pont de Nemours & Co. 51,811,825 ........................................................................................................................ 377,966 Eastman Chemical Co. 17,726,605 ........................................................................................................................ 231,336 Hercules, Inc. (NON) 2,683,498 ........................................................................................................................ 304,246 PPG Industries, Inc. 18,832,827 ........................................................................................................................ 65,000 Rohm & Haas Co. 2,631,850 ------------------------------------------------------------------------------------------------------------------------ 159,696,118 ------------------------------------------------------------------------------------------------------------------------ Coal (0.1%) ........................................................................................................................ 182,290 Arch Coal, Inc. 4,139,806 ........................................................................................................................ 81,438 Peabody Energy Corp. 2,304,695 ------------------------------------------------------------------------------------------------------------------------ 6,444,501 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (0.2%) ........................................................................................................................ 68,781 Cintas Corp. 3,399,845 ........................................................................................................................ 374,587 Sabre Holdings Corp. (NON) 13,410,215 ------------------------------------------------------------------------------------------------------------------------ 16,810,060 ------------------------------------------------------------------------------------------------------------------------ Computers (4.1%) ........................................................................................................................ 534,822 Dell Computer Corp. (NON) 13,980,247 ........................................................................................................................ 8,479,466 Hewlett-Packard Co. 129,566,240 ........................................................................................................................ 1,630,683 IBM Corp. 117,409,176 ........................................................................................................................ 216,793 NCR Corp. (NON) 7,501,038 ........................................................................................................................ 2,290,000 Sun Microsystems, Inc. (NON) 11,472,900 ------------------------------------------------------------------------------------------------------------------------ 279,929,601 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (4.2%) ........................................................................................................................ 8,392 Berkshire Hathaway, Inc. Class B (NON) 18,747,728 ........................................................................................................................ 5,295,206 General Electric Co. 153,825,734 ........................................................................................................................ 977,584 Honeywell International, Inc. 34,440,284 ........................................................................................................................ 35,929 Textron, Inc. 1,685,070 ........................................................................................................................ 5,602,070 Tyco International, Ltd. (Bermuda) 75,683,966 ------------------------------------------------------------------------------------------------------------------------ 284,382,782 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (1.8%) ........................................................................................................................ 255,903 Capital One Financial Corp. 15,622,878 ........................................................................................................................ 1,278,733 Household International, Inc. 63,553,030 ........................................................................................................................ 1,138,890 MBNA Corp. 37,663,092 ........................................................................................................................ 1,427,042 Providian Financial Corp. 8,391,007 ------------------------------------------------------------------------------------------------------------------------ 125,230,007 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (3.3%) ........................................................................................................................ 112,400 Avon Products, Inc. 5,871,776 ........................................................................................................................ 196,008 Clorox Co. 8,104,931 ........................................................................................................................ 394,000 Colgate-Palmolive Co. 19,719,700 ........................................................................................................................ 540,742 Fortune Brands, Inc. 30,281,552 ........................................................................................................................ 876,807 Gillette Co. (The) 29,697,453 ........................................................................................................................ 682,570 Kimberly-Clark Corp. 42,319,340 ........................................................................................................................ 511,551 Newell Rubbermaid, Inc. 17,934,978 ........................................................................................................................ 722,141 Procter & Gamble Co. 64,487,191 ........................................................................................................................ 110,384 Unilever NV (Netherlands) 7,152,883 ------------------------------------------------------------------------------------------------------------------------ 225,569,804 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.2%) ........................................................................................................................ 3,087,500 Service Corp. International (NON) 14,912,625 ------------------------------------------------------------------------------------------------------------------------ Containers (--%) ........................................................................................................................ 130,000 Owens-Illinois, Inc. (NON) 1,786,200 ------------------------------------------------------------------------------------------------------------------------ Distribution (0.1%) ........................................................................................................................ 202,508 SYSCO Corp. 5,512,268 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (4.5%) ........................................................................................................................ 42,200 Allegheny Energy, Inc. 1,086,650 ........................................................................................................................ 506,350 American Electric Power Company, Inc. 20,264,127 ........................................................................................................................ 150,000 Dominion Resources, Inc. 9,930,000 ........................................................................................................................ 1,726,255 Duke Energy Corp. 53,686,531 ........................................................................................................................ 1,472,807 Edison International (NON) 25,037,719 ........................................................................................................................ 526,800 Entergy Corp. 22,357,392 ........................................................................................................................ 593,222 Exelon Corp. 31,025,511 ........................................................................................................................ 495,963 FirstEnergy Corp. 16,555,245 ........................................................................................................................ 280,000 FPL Group, Inc. 16,797,200 ........................................................................................................................ 1,059,371 PG&E Corp. (NON) 18,952,147 ........................................................................................................................ 166,109 PPL Corp. 5,494,886 ........................................................................................................................ 752,517 Progress Energy, Inc. 39,138,409 ........................................................................................................................ 238,000 Public Service Enterprise Group, Inc. 10,305,400 ........................................................................................................................ 1,036,301 Reliant Energy, Inc. 17,513,487 ........................................................................................................................ 357,926 TXU Corp. 18,451,085 ------------------------------------------------------------------------------------------------------------------------ 306,595,789 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (0.5%) ........................................................................................................................ 613,090 Emerson Electric Co. 32,806,446 ........................................................................................................................ 146,907 Rockwell International Corp. 2,935,202 ------------------------------------------------------------------------------------------------------------------------ 35,741,648 ------------------------------------------------------------------------------------------------------------------------ Electronics (1.2%) ........................................................................................................................ 217,000 Agilent Technologies, Inc. (NON) 5,132,050 ........................................................................................................................ 180,948 Conexant Systems, Inc. (NON) 293,136 ........................................................................................................................ 288,645 Cypress Semiconductor Corp. (NON) 4,381,631 ........................................................................................................................ 203,475 Flextronics International, Ltd. (Singapore) (NON) 1,450,777 ........................................................................................................................ 1,292,434 LSI Logic Corp. (NON) 11,308,798 ........................................................................................................................ 1,631,000 Motorola, Inc. 23,519,020 ........................................................................................................................ 63,464 Skyworks Solutions, Inc. (NON) 352,224 ........................................................................................................................ 5,504,854 Solectron Corp. (NON) 33,854,852 ------------------------------------------------------------------------------------------------------------------------ 80,292,488 ------------------------------------------------------------------------------------------------------------------------ Energy (0.9%) ........................................................................................................................ 119,000 BJ Services Co. (NON) 4,031,720 ........................................................................................................................ 1,597,504 Halliburton Co. 25,464,214 ........................................................................................................................ 479,000 Schlumberger, Ltd. 22,273,500 ........................................................................................................................ 324,000 Transocean Sedco Forex, Inc. 10,092,600 ------------------------------------------------------------------------------------------------------------------------ 61,862,034 ------------------------------------------------------------------------------------------------------------------------ Financial (7.1%) ........................................................................................................................ 321,000 American Express Co. 11,658,720 ........................................................................................................................ 6,884,544 Citigroup, Inc. 266,776,080 ........................................................................................................................ 1,490,729 Fannie Mae 109,941,264 ........................................................................................................................ 1,249,197 Freddie Mac 76,450,856 ........................................................................................................................ 259,792 MGIC Investment Corp. 17,613,898 ------------------------------------------------------------------------------------------------------------------------ 482,440,818 ------------------------------------------------------------------------------------------------------------------------ Food (1.0%) ........................................................................................................................ 617,924 Archer Daniels Midland Co. 7,903,248 ........................................................................................................................ 9,300 General Mills, Inc. 409,944 ........................................................................................................................ 158,000 H.J. Heinz Co. 6,493,800 ........................................................................................................................ 14,438 JM Smucker Co. (The) 492,769 ........................................................................................................................ 582,657 Kellogg Co. 20,894,080 ........................................................................................................................ 268,000 Kraft Foods, Inc. Class A 10,974,600 ........................................................................................................................ 1,054,849 Sara Lee Corp. 21,772,083 ------------------------------------------------------------------------------------------------------------------------ 68,940,524 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.3%) ........................................................................................................................ 270,987 Harrah's Entertainment, Inc. (NON) 12,018,273 ........................................................................................................................ 265,555 MGM Mirage, Inc. (NON) 8,962,481 ------------------------------------------------------------------------------------------------------------------------ 20,980,754 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (2.2%) ........................................................................................................................ 368,195 Cardinal Health, Inc. 22,610,855 ........................................................................................................................ 447,878 CIGNA Corp. 43,632,275 ........................................................................................................................ 617,657 HCA, Inc. 29,338,708 ........................................................................................................................ 260,585 Healthsouth Corp. (NON) 3,332,882 ........................................................................................................................ 11,197 McKesson Corp. 366,142 ........................................................................................................................ 180,029 Quest Diagnostics, Inc. (NON) 15,491,495 ........................................................................................................................ 282,816 UnitedHealth Group, Inc. 25,891,805 ........................................................................................................................ 131,960 Wellpoint Health Networks, Inc. (NON) 10,267,808 ------------------------------------------------------------------------------------------------------------------------ 150,931,970 ------------------------------------------------------------------------------------------------------------------------ Household Furniture and Appliances (--%) ........................................................................................................................ 47,272 Whirlpool Corp. 3,089,698 ------------------------------------------------------------------------------------------------------------------------ Insurance (2.0%) ........................................................................................................................ 986,060 ACE, Ltd. (Bermuda) 31,159,496 ........................................................................................................................ 198,000 American International Group, Inc. 13,509,540 ........................................................................................................................ 137,000 Chubb Corp. (The) 9,699,600 ........................................................................................................................ 156,085 Hartford Financial Services Group, Inc. (The) 9,282,375 ........................................................................................................................ 62,564 Jefferson-Pilot Corp. 2,940,508 ........................................................................................................................ 31,949 John Hancock Financial Services 1,124,605 ........................................................................................................................ 12,376 Loews Corp. 655,804 ........................................................................................................................ 356,000 Metlife, Inc. 10,252,800 ........................................................................................................................ 206,233 Principal Financial Group (NON) 6,393,223 ........................................................................................................................ 118,725 Torchmark Corp. 4,535,295 ........................................................................................................................ 596,000 Travelers Property Casualty Corp. Class A (NON) 10,549,200 ........................................................................................................................ 388,500 UnumProvident Corp. 9,887,325 ........................................................................................................................ 270,500 XL Capital, Ltd. Class A (Bermuda) 22,911,350 ------------------------------------------------------------------------------------------------------------------------ 132,901,121 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (4.1%) ........................................................................................................................ 755,678 Goldman Sachs Group, Inc. (The) 55,428,981 ........................................................................................................................ 2,442,553 JPMorgan Chase & Co. 82,851,398 ........................................................................................................................ 70,000 Lehman Brothers Holdings, Inc. 4,376,400 ........................................................................................................................ 1,363,295 Merrill Lynch & Company, Inc. 55,213,448 ........................................................................................................................ 1,794,870 Morgan Stanley Dean Witter & Co. 77,323,000 ........................................................................................................................ 194,193 Stilwell Financial, Inc. 3,534,313 ------------------------------------------------------------------------------------------------------------------------ 278,727,540 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.5%) ........................................................................................................................ 356,629 Carnival Corp. 9,875,057 ........................................................................................................................ 995,976 Cendant Corp. (NON) 15,816,099 ........................................................................................................................ 99,000 Royal Caribbean Cruises, Ltd. 1,930,500 ........................................................................................................................ 134,764 Starwood Hotels & Resorts Worldwide, Inc. 4,432,388 ------------------------------------------------------------------------------------------------------------------------ 32,054,044 ------------------------------------------------------------------------------------------------------------------------ Machinery (0.5%) ........................................................................................................................ 450,000 Ingersoll-Rand Co. Class A (Bermuda) 20,547,000 ........................................................................................................................ 297,000 Parker-Hannifin Corp. 14,193,630 ------------------------------------------------------------------------------------------------------------------------ 34,740,630 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (0.4%) ........................................................................................................................ 217,150 Dover Corp. 7,600,250 ........................................................................................................................ 46,959 EnPro Industries, Inc. (NON) 246,535 ........................................................................................................................ 295,307 Illinois Tool Works, Inc. 20,169,462 ------------------------------------------------------------------------------------------------------------------------ 28,016,247 ------------------------------------------------------------------------------------------------------------------------ Media (1.6%) ........................................................................................................................ 4,214,354 Liberty Media Corp. Class A (NON) 42,143,540 ........................................................................................................................ 298,476 USA Networks, Inc. (NON) 6,999,262 ........................................................................................................................ 2,990,798 Walt Disney Co. (The) 56,526,082 ------------------------------------------------------------------------------------------------------------------------ 105,668,884 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (0.1%) ........................................................................................................................ 132,189 Becton, Dickinson and Co. 4,553,911 ------------------------------------------------------------------------------------------------------------------------ Metals (0.4%) ........................................................................................................................ 569,000 Alcoa, Inc. 18,862,350 ........................................................................................................................ 244,376 Barrick Gold Corp. 4,640,700 ........................................................................................................................ 174,000 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 3,105,900 ........................................................................................................................ 60,000 Phelps Dodge Corp. 2,472,000 ------------------------------------------------------------------------------------------------------------------------ 29,080,950 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (1.0%) ........................................................................................................................ 2,207,799 Dynegy, Inc. Class A 15,896,153 ........................................................................................................................ 1,484,100 El Paso Corp. 30,587,301 ........................................................................................................................ 685,000 NiSource, Inc. 14,953,550 ........................................................................................................................ 261,128 Sempra Energy 5,778,763 ........................................................................................................................ 59,235 Williams Companies, Inc. (The) 354,818 ------------------------------------------------------------------------------------------------------------------------ 67,570,585 ------------------------------------------------------------------------------------------------------------------------ Office Equipment & Supplies (0.1%) ........................................................................................................................ 125,006 Pitney Bowes, Inc. 4,965,238 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (8.7%) ........................................................................................................................ 432,548 Burlington Resources, Inc. 16,436,824 ........................................................................................................................ 765,962 Chevron Texaco Corp. 67,787,637 ........................................................................................................................ 493,172 Conoco, Inc. 13,710,182 ........................................................................................................................ 163,305 Devon Energy Corp. 8,047,670 ........................................................................................................................ 180,993 EOG Resources, Inc. 7,185,422 ........................................................................................................................ 6,125,799 Exxon Mobil Corp. 250,667,695 ........................................................................................................................ 540,010 Marathon Oil Corp. 14,645,071 ........................................................................................................................ 153,331 Occidental Petroleum Corp. 4,598,397 ........................................................................................................................ 231,921 Phillips Petroleum Co. 13,655,508 ........................................................................................................................ 2,939,377 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 162,459,367 ........................................................................................................................ 954,251 Unocal Corp. 35,250,032 ------------------------------------------------------------------------------------------------------------------------ 594,443,805 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (1.0%) ........................................................................................................................ 175,000 Boise Cascade Corp. 6,042,750 ........................................................................................................................ 383,342 Georgia-Pacific Corp. 9,422,546 ........................................................................................................................ 84,395 Sealed Air Corp. (NON) 3,398,587 ........................................................................................................................ 514,142 Smurfit-Stone Container Corp. (NON) 7,928,070 ........................................................................................................................ 651,076 Weyerhaeuser Co. 41,571,203 ------------------------------------------------------------------------------------------------------------------------ 68,363,156 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (9.7%) ........................................................................................................................ 1,419,062 Abbott Laboratories 53,427,684 ........................................................................................................................ 2,508,240 Bristol-Myers Squibb Co. 64,461,768 ........................................................................................................................ 153,339 King Pharmaceuticals, Inc. (NON) 3,411,793 ........................................................................................................................ 943,327 Lilly (Eli) & Co. 53,203,643 ........................................................................................................................ 3,188,864 Merck & Company, Inc. 161,484,073 ........................................................................................................................ 4,691,604 Pfizer, Inc. 164,206,140 ........................................................................................................................ 812,653 Pharmacia Corp. 30,433,855 ........................................................................................................................ 3,327,833 Schering-Plough Corp. 81,864,692 ........................................................................................................................ 947,075 Wyeth 48,490,240 ------------------------------------------------------------------------------------------------------------------------ 660,983,888 ------------------------------------------------------------------------------------------------------------------------ Photography/Imaging (0.5%) ........................................................................................................................ 471,152 Eastman Kodak Co. 13,743,504 ........................................................................................................................ 2,542,392 Xerox Corp. (NON) 17,720,472 ------------------------------------------------------------------------------------------------------------------------ 31,463,976 ------------------------------------------------------------------------------------------------------------------------ Power Producers (0.1%) ........................................................................................................................ 337,741 AES Corp. (The) (NON) 1,830,556 ........................................................................................................................ 217,138 Mirant Corp. (NON) 1,585,107 ------------------------------------------------------------------------------------------------------------------------ 3,415,663 ------------------------------------------------------------------------------------------------------------------------ Publishing (0.7%) ........................................................................................................................ 160,257 Dow Jones & Co., Inc. 7,764,452 ........................................................................................................................ 450,960 McGraw-Hill Companies, Inc. (The) 26,922,312 ........................................................................................................................ 276,456 Tribune Co. 12,025,836 ------------------------------------------------------------------------------------------------------------------------ 46,712,600 ------------------------------------------------------------------------------------------------------------------------ Railroads (1.0%) ........................................................................................................................ 876,685 Burlington Northern Santa Fe Corp. 26,300,550 ........................................................................................................................ 72,122 CSX Corp. 2,527,876 ........................................................................................................................ 668,863 Norfolk Southern Corp. 15,638,017 ........................................................................................................................ 428,636 Union Pacific Corp. 27,124,086 ------------------------------------------------------------------------------------------------------------------------ 71,590,529 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.6%) ........................................................................................................................ 116,300 Boston Properties, Inc. (R) 4,646,185 ........................................................................................................................ 1,132,725 Equity Office Properties Trust (R) 34,095,023 ------------------------------------------------------------------------------------------------------------------------ 38,741,208 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (3.3%) ........................................................................................................................ 2,106,962 BellSouth Corp. 66,369,303 ........................................................................................................................ 3,754,408 SBC Communications, Inc. 114,509,444 ........................................................................................................................ 1,153,283 Verizon Communications, Inc. 46,304,312 ------------------------------------------------------------------------------------------------------------------------ 227,183,059 ------------------------------------------------------------------------------------------------------------------------ Restaurants (0.6%) ........................................................................................................................ 183,000 Darden Restaurants, Inc. 4,520,100 ........................................................................................................................ 1,027,000 McDonald's Corp. 29,218,150 ........................................................................................................................ 404,077 Starbucks Corp. (NON) 10,041,313 ------------------------------------------------------------------------------------------------------------------------ 43,779,563 ------------------------------------------------------------------------------------------------------------------------ Retail (3.0%) ........................................................................................................................ 423,000 Albertsons, Inc. 12,884,580 ........................................................................................................................ 754,231 Federated Department Stores, Inc. (NON) 29,942,971 ........................................................................................................................ 1,346,800 JC Penney Company, Inc. 29,656,536 ........................................................................................................................ 342,120 Kroger Co. (NON) 6,808,188 ........................................................................................................................ 1,855,384 Limited Brands, Inc. 39,519,679 ........................................................................................................................ 62,227 Lowe's Companies, Inc. 2,825,106 ........................................................................................................................ 579,310 Office Depot, Inc. (NON) 9,732,408 ........................................................................................................................ 402,609 RadioShack Corp. 12,102,427 ........................................................................................................................ 3,619,000 Rite Aid Corp. (NON) 8,504,650 ........................................................................................................................ 617,522 Safeway, Inc. (NON) 18,025,467 ........................................................................................................................ 894,311 Staples, Inc. (NON) 17,617,927 ........................................................................................................................ 59,850 SUPERVALU, Inc. 1,468,121 ........................................................................................................................ 887,064 TJX Companies, Inc. (The) 17,395,325 ------------------------------------------------------------------------------------------------------------------------ 206,483,385 ------------------------------------------------------------------------------------------------------------------------ Software (1.3%) ........................................................................................................................ 409,161 Amdocs, Ltd. (Guernsey) (NON) 3,089,166 ........................................................................................................................ 1,383,131 BMC Software, Inc. (NON) 22,959,975 ........................................................................................................................ 3,613,052 Computer Associates International, Inc. 57,411,396 ........................................................................................................................ 142,262 Compuware Corp. (NON) 863,530 ........................................................................................................................ 44,826 Symantec Corp. (NON) 1,472,534 ------------------------------------------------------------------------------------------------------------------------ 85,796,601 ------------------------------------------------------------------------------------------------------------------------ Technology Services (0.2%) ........................................................................................................................ 201,780 Convergys Corp. (NON) 3,930,674 ........................................................................................................................ 202,572 Electronic Data Systems Corp. 7,525,550 ........................................................................................................................ 60,242 SunGard Data Systems, Inc. (NON) 1,595,208 ------------------------------------------------------------------------------------------------------------------------ 13,051,432 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (1.2%) ........................................................................................................................ 2,478,830 AT&T Corp. 26,523,481 ........................................................................................................................ 4,391,920 AT&T Wireless Services, Inc. (NON) 25,692,732 ........................................................................................................................ 1,053,643 Qwest Communications International, Inc. (NON) 2,950,200 ........................................................................................................................ 2,673,962 Sprint Corp. (FON Group) 28,370,737 ------------------------------------------------------------------------------------------------------------------------ 83,537,150 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.1%) ........................................................................................................................ 198,500 Jones Apparel Group, Inc. (NON) 7,443,750 ........................................................................................................................ 19,475 Nike, Inc. 1,044,834 ------------------------------------------------------------------------------------------------------------------------ 8,488,584 ------------------------------------------------------------------------------------------------------------------------ Tobacco (2.3%) ........................................................................................................................ 3,445,693 Philip Morris Companies, Inc. 150,507,870 ........................................................................................................................ 111,629 R.J. Reynolds Tobacco Holdings, Inc. 6,000,059 ------------------------------------------------------------------------------------------------------------------------ 156,507,929 ------------------------------------------------------------------------------------------------------------------------ Toys (0.2%) ........................................................................................................................ 610,494 Mattel, Inc. 12,869,214 ------------------------------------------------------------------------------------------------------------------------ Transportation Services (--%) ........................................................................................................................ 40,358 United Parcel Service, Inc. Class B 2,492,107 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.7%) ........................................................................................................................ 348,864 Republic Services, Inc. (NON) 6,652,836 ........................................................................................................................ 1,618,718 Waste Management, Inc. 42,167,604 ------------------------------------------------------------------------------------------------------------------------ 48,820,440 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $6,633,352,885) $6,701,647,958 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE PREFERRED STOCKS (0.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 250,700 Ford Motor Company Capital Trust II $3.25 cum. cv. pfd. 14,133,213 ........................................................................................................................ 469,000 General Motors Corp. $1.31 cv. pfd. 12,311,250 ........................................................................................................................ 4,200 Hercules Trust II units 6.50% cum. cv. pfd. 2,478,000 ........................................................................................................................ 173,000 Xerox Corp. 144A $3.75 cv. pfd. 9,428,500 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Preferred Stocks (cost $36,235,454) $38,350,963 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE BONDS AND NOTES (0.2%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $508,000 Computer Associates International, Inc. 144A cv. sr. notes 5s, 2007 $507,365 ........................................................................................................................ 3,610,000 Freeport-McMoRan Copper & Gold, Inc. 144A cv. sr. notes 8 1/4s, 2006 5,419,513 ........................................................................................................................ 1,900,000 Providian Financial Corp. cv. sr. notes 3 1/4s, 2005 1,308,625 ........................................................................................................................ 7,695,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 7,579,575 ........................................................................................................................ 3,800,000 Xerox Corp. cv. sub. deb. 0.57s, 2018 2,261,000 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Bonds and Notes (cost $14,525,800) $17,076,078 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (1.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $54,273,914 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) $54,273,914 ........................................................................................................................ 22,247,207 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) 22,233,690 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $76,507,604) $76,507,604 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $6,760,621,743) (b) $6,833,582,603 ------------------------------------------------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Growth Opportunities Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (99.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Aerospace and Defense (0.9%) ........................................................................................................................ 5,700 Northrop Grumman Corp. $712,500 ------------------------------------------------------------------------------------------------------------------------ Banking (2.1%) ........................................................................................................................ 28,900 Bank of New York Company, Inc. (The) 975,375 ........................................................................................................................ 9,300 Fifth Third Bancorp 619,845 ------------------------------------------------------------------------------------------------------------------------ 1,595,220 ------------------------------------------------------------------------------------------------------------------------ Beverage (2.7%) ........................................................................................................................ 11,000 Anheuser-Busch Companies, Inc. 550,000 ........................................................................................................................ 7,400 Coca-Cola Co. (The) 414,400 ........................................................................................................................ 22,400 PepsiCo, Inc. 1,079,680 ------------------------------------------------------------------------------------------------------------------------ 2,044,080 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (2.4%) ........................................................................................................................ 22,800 Amgen, Inc. (NON) 954,864 ........................................................................................................................ 4,000 IDEC Pharmaceuticals Corp. (NON) 141,800 ........................................................................................................................ 26,100 MedImmune, Inc. (NON) 689,040 ------------------------------------------------------------------------------------------------------------------------ 1,785,704 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (3.4%) ........................................................................................................................ 34,800 Echostar Communications Corp. Class A (NON) 645,888 ........................................................................................................................ 43,600 Viacom, Inc. Class B (NON) 1,934,532 ------------------------------------------------------------------------------------------------------------------------ 2,580,420 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.5%) ........................................................................................................................ 14,400 Comcast Corp. Class A (NON) 343,296 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (3.7%) ........................................................................................................................ 143,200 Cisco Systems, Inc. (NON) 1,997,640 ........................................................................................................................ 20,200 Nokia OYJ ADR (Finland) 292,496 ........................................................................................................................ 17,100 QUALCOMM, Inc. (NON) 470,079 ------------------------------------------------------------------------------------------------------------------------ 2,760,215 ------------------------------------------------------------------------------------------------------------------------ Computers (5.1%) ........................................................................................................................ 75,600 Dell Computer Corp. (NON) 1,976,184 ........................................................................................................................ 25,300 EMC Corp. (NON) 191,015 ........................................................................................................................ 33,100 Hewlett-Packard Co. 505,768 ........................................................................................................................ 16,200 IBM Corp. 1,166,400 ------------------------------------------------------------------------------------------------------------------------ 3,839,367 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (6.2%) ........................................................................................................................ 137,200 General Electric Co. 3,985,660 ........................................................................................................................ 49,400 Tyco International, Ltd. (Bermuda) 667,394 ------------------------------------------------------------------------------------------------------------------------ 4,653,054 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (1.7%) ........................................................................................................................ 21,244 Capital One Financial Corp. 1,296,946 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (0.9%) ........................................................................................................................ 13,400 Colgate-Palmolive Co. 670,670 ------------------------------------------------------------------------------------------------------------------------ Electronics (5.4%) ........................................................................................................................ 146,400 Intel Corp. 2,674,728 ........................................................................................................................ 36,900 Maxim Integrated Products, Inc. (NON) 1,414,377 ------------------------------------------------------------------------------------------------------------------------ 4,089,105 ------------------------------------------------------------------------------------------------------------------------ Energy (0.4%) ........................................................................................................................ 10,200 GlobalSantaFe Corp. 278,970 ------------------------------------------------------------------------------------------------------------------------ Financial (3.9%) ........................................................................................................................ 24,900 Citigroup, Inc. 964,875 ........................................................................................................................ 27,000 Fannie Mae 1,991,250 ------------------------------------------------------------------------------------------------------------------------ 2,956,125 ------------------------------------------------------------------------------------------------------------------------ Food (1.0%) ........................................................................................................................ 18,400 Kraft Foods, Inc. Class A 753,480 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (4.8%) ........................................................................................................................ 6,300 Cardinal Health, Inc. 386,883 ........................................................................................................................ 29,200 HCA, Inc. 1,387,000 ........................................................................................................................ 20,500 UnitedHealth Group, Inc. 1,876,775 ------------------------------------------------------------------------------------------------------------------------ 3,650,658 ------------------------------------------------------------------------------------------------------------------------ Insurance (3.8%) ........................................................................................................................ 34,900 American International Group, Inc. 2,381,227 ........................................................................................................................ 5,500 XL Capital, Ltd. Class A (Bermuda) 465,850 ------------------------------------------------------------------------------------------------------------------------ 2,847,077 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (2.4%) ........................................................................................................................ 76,200 Charles Schwab Corp. (The) 853,440 ........................................................................................................................ 23,100 Merrill Lynch & Company, Inc. 935,550 ------------------------------------------------------------------------------------------------------------------------ 1,788,990 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (1.0%) ........................................................................................................................ 48,600 Cendant Corp. (NON) 771,768 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (2.8%) ........................................................................................................................ 49,100 Medtronic, Inc. 2,103,935 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (18.0%) ........................................................................................................................ 28,400 Abbott Laboratories 1,069,260 ........................................................................................................................ 18,800 Allergan, Inc. 1,254,900 ........................................................................................................................ 53,000 Johnson & Johnson 2,769,780 ........................................................................................................................ 22,371 King Pharmaceuticals, Inc. (NON) 497,755 ........................................................................................................................ 25,100 Lilly (Eli) & Co. 1,415,640 ........................................................................................................................ 30,900 Merck & Company, Inc. 1,564,776 ........................................................................................................................ 143,300 Pfizer, Inc. 5,015,500 ------------------------------------------------------------------------------------------------------------------------ 13,587,611 ------------------------------------------------------------------------------------------------------------------------ Restaurants (2.1%) ........................................................................................................................ 63,000 Starbucks Corp. (NON) 1,565,550 ------------------------------------------------------------------------------------------------------------------------ Retail (11.2%) ........................................................................................................................ 8,950 Best Buy Companies, Inc. (NON) 324,885 ........................................................................................................................ 22,500 Home Depot, Inc. (The) 826,425 ........................................................................................................................ 8,300 Kohl's Corp. (NON) 581,664 ........................................................................................................................ 54,200 Lowe's Companies, Inc. 2,460,680 ........................................................................................................................ 6,000 TJX Companies, Inc. (The) 117,660 ........................................................................................................................ 59,000 Wal-Mart Stores, Inc. 3,245,590 ........................................................................................................................ 21,300 Walgreen Co. 822,819 ------------------------------------------------------------------------------------------------------------------------ 8,379,723 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (0.9%) ........................................................................................................................ 15,300 KLA-Tencor Corp. (NON) 673,047 ------------------------------------------------------------------------------------------------------------------------ Software (9.0%) ........................................................................................................................ 8,400 Electronic Arts, Inc. (NON) 554,820 ........................................................................................................................ 97,300 Microsoft Corp. (NON) 5,322,315 ........................................................................................................................ 45,900 Oracle Corp. (NON) 434,673 ........................................................................................................................ 24,000 VERITAS Software Corp. (NON) 474,960 ------------------------------------------------------------------------------------------------------------------------ 6,786,768 ------------------------------------------------------------------------------------------------------------------------ Tobacco (2.9%) ........................................................................................................................ 49,900 Philip Morris Companies, Inc. 2,179,632 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $91,970,472) $74,693,911 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (0.2%) (a) (cost $158,747) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $158,747 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) $158,747 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $92,129,219) (b) $74,852,658 ------------------------------------------------------------------------------------------------------------------------
Written Options Outstanding at June 30, 2002 (Unaudited) (premiums received $16,307) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amount Strike Price Value .............................................................................. 3,187 Capital OneFinancial Corp. (Call) Jul 02/ 65.00 USD $7,362 .............................................................................. 2,115 IDECPharmaceuticals Corp. (Put) Jul 02/ 31.51 USD 3,213 .............................................................................. 9,000 Oracle Corp. (Put) Jul 02/ 8.85 USD 3,087 .............................................................................. 2,160 UnitedHealth Group, Inc. (Call) Jul 02/ 95.00 USD 3,456 ------------------------------------------------------------------------------ $17,118 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Health Sciences Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (99.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Biotechnology (9.3%) ........................................................................................................................ 315,572 Amgen, Inc. (NON) $13,216,155 ........................................................................................................................ 10,700 Biogen, Inc. (NON) 443,301 ........................................................................................................................ 45,500 Chiron Corp. (NON) 1,608,425 ........................................................................................................................ 137,000 Connetics Corp. (NON) 1,769,903 ........................................................................................................................ 12,600 Genentech, Inc. (NON) 422,100 ........................................................................................................................ 53,015 Genzyme Corp. (NON) 1,020,009 ........................................................................................................................ 101,216 Gilead Sciences, Inc. (NON) 3,327,982 ........................................................................................................................ 44,200 IDEC Pharmaceuticals Corp. (NON) 1,566,890 ........................................................................................................................ 34,257 IDEXX Laboratories, Inc. (NON) 883,488 ........................................................................................................................ 54,600 ILEX Oncology, Inc. (NON) 769,314 ........................................................................................................................ 87,800 Immunex Corp. (NON) 1,961,452 ........................................................................................................................ 22,903 InterMune, Inc. (NON) 483,253 ........................................................................................................................ 25,200 InterMune, Inc. (Private) (NON) 531,720 ........................................................................................................................ 23,974 Invitrogen Corp. (NON) 767,408 ........................................................................................................................ 94,900 Ligand Pharmaceuticals, Inc. Class B (NON) 1,376,050 ........................................................................................................................ 182,406 MedImmune, Inc. (NON) 4,815,518 ........................................................................................................................ 1,000 Nexia Biotechnologies, Inc. (Canada) (NON) 2,374 ........................................................................................................................ 25,300 Nexia Biotechnologies, Inc. 144A (Canada) (NON) 60,056 ........................................................................................................................ 35,652 QIAGEN NV (Netherlands) (NON) 415,346 ........................................................................................................................ 17,916 Scios, Inc. (NON) 548,409 ........................................................................................................................ 400 Serono SA Class B (Switzerland) 263,745 ------------------------------------------------------------------------------------------------------------------------ 36,252,898 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (18.0%) ........................................................................................................................ 60,100 AdvancePCS (NON) 1,438,794 ........................................................................................................................ 19,739 AmerisourceBergen Corp. 1,500,164 ........................................................................................................................ 33,500 Anthem, Inc. (NON) 2,260,580 ........................................................................................................................ 178,336 Cardinal Health, Inc. 10,951,614 ........................................................................................................................ 82,633 Caremark Rx, Inc. (NON) 1,363,445 ........................................................................................................................ 33,497 CIGNA Corp. 3,263,278 ........................................................................................................................ 76,600 Community Health Systems, Inc. (NON) 2,052,880 ........................................................................................................................ 38,100 Conventry Health Care, Inc. (NON) 1,082,802 ........................................................................................................................ 17,000 Covance, Inc. (NON) 318,750 ........................................................................................................................ 17,600 Cross Country, Inc. (NON) 665,280 ........................................................................................................................ 45,300 Express Scripts, Inc. Class A (NON) 2,269,983 ........................................................................................................................ 167,773 HCA, Inc. 7,969,218 ........................................................................................................................ 123,000 Healthsouth Corp. (NON) 1,573,170 ........................................................................................................................ 92,616 Laboratory Corporation of America Holdings (NON) 4,227,920 ........................................................................................................................ 23,800 LifePoint Hospitals, Inc. (NON) 864,178 ........................................................................................................................ 11,100 McKesson Corp. 362,970 ........................................................................................................................ 33,400 Mid Atlantic Medical Services, Inc. (NON) 1,047,090 ........................................................................................................................ 31,600 Omnicare, Inc. 829,816 ........................................................................................................................ 31,800 Oxford Health Plans, Inc. (NON) 1,477,428 ........................................................................................................................ 13,600 Pediatrix Medical Group, Inc. (NON) 340,000 ........................................................................................................................ 16,000 Pharmaceutical Product Development, Inc. (NON) 421,440 ........................................................................................................................ 8,950 Province Healthcare Co. (NON) 200,122 ........................................................................................................................ 52,000 PSS World Medical, Inc. (NON) 421,200 ........................................................................................................................ 57,093 Quest Diagnostics, Inc. (NON) 4,912,853 ........................................................................................................................ 15,800 Renal Care Group, Inc. (NON) 492,170 ........................................................................................................................ 80,400 Steris Corp. (NON) 1,536,444 ........................................................................................................................ 29,994 Triad Hospitals, Inc. (NON) 1,271,146 ........................................................................................................................ 28,370 Trigon Healthcare, Inc. (NON) 2,853,455 ........................................................................................................................ 92,062 UnitedHealth Group, Inc. 8,428,276 ........................................................................................................................ 12,400 Universal Health Services, Inc. Class B (NON) 607,600 ........................................................................................................................ 41,400 Wellpoint Health Networks, Inc. (NON) 3,221,334 ------------------------------------------------------------------------------------------------------------------------ 70,225,400 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (10.0%) ........................................................................................................................ 14,900 Alcon, Inc. (Switzerland) (NON) 510,325 ........................................................................................................................ 9,200 Apogent Technologies, Inc. (NON) 189,244 ........................................................................................................................ 63,900 Baxter International, Inc. 2,840,355 ........................................................................................................................ 26,800 Beckman Coulter, Inc. 1,337,320 ........................................................................................................................ 5,100 Becton, Dickinson and Co. 175,695 ........................................................................................................................ 27,900 Boston Scientific Corp. (NON) 818,028 ........................................................................................................................ 24,000 C.R. Bard, Inc. 1,357,920 ........................................................................................................................ 30,778 Charles River Laboratories International, Inc. (NON) 1,078,769 ........................................................................................................................ 49,504 Cytyc Corp. (NON) 377,220 ........................................................................................................................ 33,000 DENTSPLY International, Inc. 1,218,030 ........................................................................................................................ 31,000 Diagnostic Products Corp. 1,147,000 ........................................................................................................................ 47,900 Edwards Lifesciences Corp. (NON) 1,111,280 ........................................................................................................................ 95,400 Guidant Corp. (NON) 2,883,942 ........................................................................................................................ 322,007 Medtronic, Inc. 13,798,000 ........................................................................................................................ 45,100 Respironics, Inc. (NON) 1,535,655 ........................................................................................................................ 126,900 Serologicals Corp. (NON) 2,321,001 ........................................................................................................................ 26,800 St. Jude Medical, Inc. (NON) 1,979,180 ........................................................................................................................ 36,080 Stryker Corp. 1,930,648 ........................................................................................................................ 34,200 Urologix, Inc. (NON) 437,418 ........................................................................................................................ 30,700 Varian Medical Systems, Inc. (NON) 1,244,885 ........................................................................................................................ 7,800 VISX, Inc. (NON) 85,020 ........................................................................................................................ 19,248 Zimmer Holdings, Inc. (NON) 686,384 ------------------------------------------------------------------------------------------------------------------------ 39,063,319 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (62.4%) ........................................................................................................................ 275,141 Abbott Laboratories 10,359,059 ........................................................................................................................ 95,626 Allergan, Inc. 6,383,036 ........................................................................................................................ 57,442 Andrx Group (NON) 1,549,211 ........................................................................................................................ 120,922 AstraZeneca PLC (United Kingdom) 5,005,184 ........................................................................................................................ 287,533 AstraZeneca PLC ADR (United Kingdom) 11,788,853 ........................................................................................................................ 62,535 Aventis SA (France) 4,430,351 ........................................................................................................................ 16,973 Barr Laboratories, Inc. (NON) 1,078,295 ........................................................................................................................ 48,200 Bayer AG (Germany) 1,527,725 ........................................................................................................................ 225,944 Bristol-Myers Squibb Co. 5,806,761 ........................................................................................................................ 25,600 Cephalon, Inc. (NON) 1,157,120 ........................................................................................................................ 75,400 Daiichi Pharmaceutical Company, Ltd. (Japan) 1,377,772 ........................................................................................................................ 59,300 Eisai Co., Ltd. (Japan) 1,523,938 ........................................................................................................................ 2,950 Forest Laboratories, Inc. (NON) 208,860 ........................................................................................................................ 580,188 GlaxoSmithKline PLC ADR (United Kingdom) 25,029,310 ........................................................................................................................ 40,700 IVAX Corp. (NON) 439,560 ........................................................................................................................ 566,276 Johnson & Johnson 29,593,584 ........................................................................................................................ 94,319 King Pharmaceuticals, Inc. (NON) 2,098,598 ........................................................................................................................ 113,870 Lilly (Eli) & Co. 6,422,268 ........................................................................................................................ 374,726 Merck & Company, Inc. 18,976,125 ........................................................................................................................ 43,000 Mylan Laboratories, Inc. 1,348,050 ........................................................................................................................ 557,402 Novartis AG (Switzerland) 24,520,743 ........................................................................................................................ 837,345 Pfizer, Inc. 29,307,075 ........................................................................................................................ 366,605 Pharmacia Corp. 13,729,357 ........................................................................................................................ 82,082 Roche Holding AG (Switzerland) 6,206,631 ........................................................................................................................ 29,600 Salix Pharmaceuticals, Ltd. (NON) 451,696 ........................................................................................................................ 96,000 Sankyo Company, Ltd. (Japan) 1,305,632 ........................................................................................................................ 93,878 Sanofi-Synthelabo SA (France) 5,710,020 ........................................................................................................................ 167,124 Schering-Plough Corp. 4,111,250 ........................................................................................................................ 13,357 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 344,744 ........................................................................................................................ 18,900 Taisho Pharmaceutical Company, Ltd. (Japan) 291,109 ........................................................................................................................ 71,000 Takeda Chemical Industries, Ltd. (Japan) 3,116,062 ........................................................................................................................ 88,600 Terumo Corp. (Japan) 1,184,290 ........................................................................................................................ 9,753 Teva Pharmaceutical Industries, Ltd. ADR (Israel) 651,305 ........................................................................................................................ 300,000 Wyeth 15,360,000 ........................................................................................................................ 58,000 Yamanouchi Pharmaceutical Co., Ltd. (Japan) 1,505,045 ------------------------------------------------------------------------------------------------------------------------ 243,898,619 ------------------------------------------------------------------------------------------------------------------------ Retail (0.2%) ........................................................................................................................ 29,121 CVS Corp. 891,103 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $403,969,330) $390,331,339 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (1.3%) (a) (cost $4,985,896) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $4,988,927 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $4,985,896 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $408,955,226) (b) $395,317,235 ------------------------------------------------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT High Yield Fund The fund's portfolio June 30, 2002 (Unaudited) CORPORATE BONDS AND NOTES (86.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Advertising and Marketing Services (0.5%) ........................................................................................................................ $1,947,382 Interact Operating Co. notes 14s, 2003 (PIK) $195 ........................................................................................................................ 500,000 Lamar Advertising Co. Structured Notes (issued by COUNTS Trust, Series 2001-6) 9.84s, 2006 502,500 ........................................................................................................................ 1,000,000 Lamar Advertising Co. Structured Notes (issued by Counts Trust, Series 2001-1) 5 1/4s, 2006 1,005,000 ........................................................................................................................ 1,420,000 Lamar Media Corp. sr. sub. notes 9 1/4s, 2007 1,466,150 ------------------------------------------------------------------------------------------------------------------------ 2,973,845 ------------------------------------------------------------------------------------------------------------------------ Agriculture (0.4%) ........................................................................................................................ 2,340,000 Premium Standard Farms, Inc. sr. notes 9 1/4s, 2011 2,246,400 ------------------------------------------------------------------------------------------------------------------------ Automotive (2.5%) ........................................................................................................................ 1,100,000 Asbury Automotive Group, Inc. 144A sr. sub. notes 9s, 2012 1,036,750 ........................................................................................................................ 1,330,000 Collins & Aikman Products, Inc. company guaranty 11 1/2s, 2006 1,263,500 ........................................................................................................................ 1,670,000 Collins & Aikman Products, Inc. 144A sr. notes 10 3/4s, 2011 1,670,000 ........................................................................................................................ 1,820,000 Dana Corp. notes 9s, 2011 1,783,600 ........................................................................................................................ 200,000 Dana Corp. notes 7s, 2029 148,000 ........................................................................................................................ 470,000 Dana Corp. notes 6 1/4s, 2004 441,800 ........................................................................................................................ 490,000 Delco Remy International, Inc. company guaranty 11s, 2009 429,975 ........................................................................................................................ 160,000 Delco Remy International, Inc. company guaranty 10 5/8s, 2006 135,200 ........................................................................................................................ 210,000 Delco Remy International, Inc. sr. notes 8 5/8s, 2007 194,250 ........................................................................................................................ 2,130,000 Dura Operating Corp. company guaranty Ser. D, 9s, 2009 2,066,100 ........................................................................................................................ 890,000 Dura Operating Corp. 144A sr. notes 8 5/8s, 2012 894,450 ........................................................................................................................ 1,326,000 Exide Corp. sr. notes 10s, 2005 (In default) (NON) 225,420 ........................................................................................................................ 900,000 Federal Mogul Corp. notes 7 7/8s, 2010 (In default) (NON) 198,000 ........................................................................................................................ 510,000 Federal Mogul Corp. notes 7 3/4s, 2006 (In default) (NON) 112,838 ........................................................................................................................ 820,000 Federal Mogul Corp. notes 7 3/8s, 2006 (In default) (NON) 180,400 ........................................................................................................................ 370,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 375,591 ........................................................................................................................ 580,000 Hayes Lemmerz International, Inc. 144A company guaranty 11 7/8s, 2006 (In default) (NON) 452,400 ........................................................................................................................ 1,040,000 Lear Corp. company guaranty Ser. B, 8.11s, 2009 1,060,977 ........................................................................................................................ 740,000 Lear Corp. company guaranty Ser. B, 7.96s, 2005 755,362 ........................................................................................................................ 1,600,000 Lear Corp. Structured Notes (issued by STEERS Credit Linked Trust 2001) 8.46s, 2006 1,616,000 ........................................................................................................................ 370,000 Tenaga Nasional Berhad company guaranty 11 5/8s, 2009 307,100 ........................................................................................................................ 820,000 United Auto Group, Inc. 144A sr. sub. notes 9 5/8s, 2012 828,200 ........................................................................................................................ 250,000 Venture Holdings Trust 144A sr. notes Ser. B, 9 1/2s, 2005 150,000 ------------------------------------------------------------------------------------------------------------------------ 16,325,913 ------------------------------------------------------------------------------------------------------------------------ Beverage (0.5%) ........................................................................................................................ 260,000 Constellation Brands, Inc. company guaranty 8 1/2s, 2009 267,800 ........................................................................................................................ 1,270,000 Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 1,301,750 ........................................................................................................................ 1,670,000 Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012 1,728,450 ------------------------------------------------------------------------------------------------------------------------ 3,298,000 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (5.5%) ........................................................................................................................ 1,945,000 Acme Television company guaranty 10 7/8s, 2004 1,964,450 ........................................................................................................................ 1,300,000 Benedek Communications Corp. sr. disc. notes 13 1/4s, 2006 (In default) (NON) 1,303,250 ........................................................................................................................ 770,000 British Sky Broadcasting PLC company guaranty 8.2s, 2009 (United Kingdom) 758,904 ........................................................................................................................ 2,320,000 British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) 2,134,098 ........................................................................................................................ 1,900,000 Chancellor Media Corp. company guaranty 8s, 2008 1,843,000 ........................................................................................................................ 8,747,000 Diva Systems Corp. sr. disc. notes stepped-coupon Ser. B, zero % (12 5/8s, 3/1/03), 2008 (STP) 1,115,243 ........................................................................................................................ 7,660,000 Echostar Broadband Corp. sr. notes 10 3/8s, 2007 7,277,000 ........................................................................................................................ 1,040,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 946,400 ........................................................................................................................ 1,640,000 Echostar DBS Corp. 144A sr. notes 9 1/8s, 2009 1,525,200 ........................................................................................................................ 150,000 Emmis Communications Corp. bank term loan FRN Ser. C, 4 3/8s, 2009 (acquired 6/20/02, cost $149,813) (RES) 150,687 ........................................................................................................................ 620,000 Emmis Communications Corp. company guaranty Ser. B, 8 1/8s, 2009 616,900 ........................................................................................................................ 619,000 Emmis Communications Corp. sr. disc. notes stepped-coupon zero % (12 1/2s, 3/15/06), 2011 (STP) 458,060 ........................................................................................................................ 1,320,000 Fox/Liberty Networks, LLC sr. disc. notes zero % (9 3/4s, 8/15/02), 2007 (STP) 1,336,500 ........................................................................................................................ 850,000 Fox/Liberty Networks, LLC sr. notes 8 7/8s, 2007 867,000 ........................................................................................................................ 10,000 Granite Broadcasting Corp. sr. sub. notes 10 3/8s, 2005 9,700 ........................................................................................................................ 1,110,000 Granite Broadcasting Corp. sr. sub. notes 9 3/8s, 2005 1,021,200 ........................................................................................................................ 1,340,000 Granite Broadcasting Corp. sr. sub. notes 8 7/8s, 2008 1,206,000 ........................................................................................................................ 130,000 Knology Holdings, Inc. sr. disc. notes stepped-coupon zero % (11 7/8s, 10/15/02), 2007 (STP) 49,400 ........................................................................................................................ 630,000 LIN Holdings Corp. sr. disc. notes stepped-coupon zero % (10s, 3/1/03), 2008 (STP) 592,200 ........................................................................................................................ 230,000 LIN Holdings Corp. sr. disc. notes stepped-coupon zero % (10s, 3/1/03), 2008 (STP) 216,200 ........................................................................................................................ 760,000 LIN Television Corp. company guaranty 8 3/8s, 2008 757,150 ........................................................................................................................ 125,000 Pegasus Communications Corp. sr. notes 12 1/2s, 2007 61,250 ........................................................................................................................ 70,000 Pegasus Communications Corp. sr. notes Ser. B, 9 3/4s, 2006 37,100 ........................................................................................................................ 750,000 Pegasus Satellite sr. notes 12 3/8s, 2006 397,500 ........................................................................................................................ 3,812,908 Quorum Broadcast Holdings, LLC notes stepped-coupon zero % (15s, 5/15/06), 2009 (STP) 2,153,416 ........................................................................................................................ 675,000 RCN Corp. sr. disc. notes stepped-coupon Ser. B, zero % (9.8s, 2/15/03), 2008 (STP) 128,250 ........................................................................................................................ 920,000 Sinclair Broadcast Group, Inc. company guaranty 9s, 2007 930,350 ........................................................................................................................ 710,000 Sinclair Broadcast Group, Inc. company guaranty 8 3/4s, 2011 713,550 ........................................................................................................................ 1,060,000 Sinclair Broadcast Group, Inc. sr. sub. notes 8 3/4s, 2007 1,071,925 ........................................................................................................................ 1,380,000 XM Satellite Radio Holdings, Inc. sec. notes 14s, 2010 593,400 ........................................................................................................................ 2,970,000 Young Broadcasting, Inc. company guaranty 10s, 2011 2,673,000 ........................................................................................................................ 370,000 Young Broadcasting, Inc. company guaranty Ser. B, 8 3/4s, 2007 333,000 ------------------------------------------------------------------------------------------------------------------------ 35,241,283 ------------------------------------------------------------------------------------------------------------------------ Building Materials (0.6%) ........................................................................................................................ 560,000 Atrium Companies, Inc. company guaranty Ser. B, 10 1/2s, 2009 571,200 ........................................................................................................................ 640,000 Building Materials Corp. company guaranty 8s, 2008 524,800 ........................................................................................................................ 1,720,000 Dayton Superior Corp. company guaranty 13s, 2009 1,737,200 ........................................................................................................................ 1,720,000 Morrison Knudsen Corp. 144A sr. notes 11s, 2010 (In default) (NON) 361,200 ........................................................................................................................ 1,660,000 Owens Corning bonds 7 1/2s, 2018 (In default) (NON) 630,800 ........................................................................................................................ 540,000 Owens Corning notes 7 1/2s, 2005 (In default) (NON) 205,200 ------------------------------------------------------------------------------------------------------------------------ 4,030,400 ------------------------------------------------------------------------------------------------------------------------ Cable Television (2.6%) ........................................................................................................................ 60,000 Adelphia Communications Corp. notes Ser. B, 9 7/8s, 2005 (In default) (NON) 23,700 ........................................................................................................................ 290,000 Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In default) (NON) 113,100 ........................................................................................................................ 1,720,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2011 (In default) (NON) 705,200 ........................................................................................................................ 330,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2006 (In default) (NON) 128,700 ........................................................................................................................ 10,000 Adelphia Communications Corp. sr. notes 9 3/8s, 2009 (In default) (NON) 4,000 ........................................................................................................................ 920,000 Adelphia Communications Corp. sr. notes 7 7/8s, 2009 (In default) (NON) 363,400 ........................................................................................................................ 715,000 Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 (In default) (NON) 282,425 ........................................................................................................................ 230,000 Adelphia Communications Corp. sr. notes Ser. B, 8 3/8s, 2008 (In default) (NON) 89,700 ........................................................................................................................ 750,000 Adelphia Communications Corp. sr. notes Ser. B, 7 3/4s, 2009 (In default) (NON) 296,250 ........................................................................................................................ 320,000 Adelphia Communications Corp. Structured Notes (issued by STEERS Credit Linked Trust 2001) 10.9s, 2006 123,200 ........................................................................................................................ 1,090,000 Century Cable Holdings bank term loan FRN 6 3/4s, 2009 (acquired 5/22/02, cost $964,175) (RES) 807,378 ........................................................................................................................ 1,400,000 Charter Communications Holdings, LLC sr. notes 11 1/8s, 2011 966,000 ........................................................................................................................ 840,000 Charter Communications Holdings, LLC sr. notes 10 3/4s, 2009 579,600 ........................................................................................................................ 440,000 Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 1/15/07), 2012 (STP) 140,800 ........................................................................................................................ 4,210,000 Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (11 3/4s, 5/15/06), 2011 (STP) 1,473,500 ........................................................................................................................ 1,610,000 Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (13 1/2s, 1/15/06), 2011 (STP) 603,750 ........................................................................................................................ 280,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2011 187,600 ........................................................................................................................ 90,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2009 60,750 ........................................................................................................................ 750,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 9 5/8s, 2009 498,750 ........................................................................................................................ 210,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 8 5/8s, 2009 140,700 ........................................................................................................................ 150,000 CSC Holdings, Inc. debs. 7 5/8s, 2018 107,420 ........................................................................................................................ 2,510,000 CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 1,977,278 ........................................................................................................................ 4,355,000 Diamond Cable Communication PLC sr. disc. Notes 10 3/4s, 2007 (United Kingdom) (In default) (NON) 1,088,750 ........................................................................................................................ 1,960,000 Diamond Cable Communications PLC sr. disc. notes 13 1/4s, 2004 (United Kingdom) (In default) (NON) 548,800 ........................................................................................................................ 3,105,000 Diamond Cable Communications PLC sr. disc. notes 11 3/4s, 2005 (United Kingdom) (In default) (NON) 776,250 ........................................................................................................................ 480,000 Insight Communications Company, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 2/15/06), 2011 (STP) 192,000 ........................................................................................................................ 990,000 International Cabletel, Inc. sr. disc. notes 11 1/2s, 2006 (In default) (NON) 287,100 ........................................................................................................................ 2,000 NTL Communications Corp. sr. notes stepped-coupon Ser. B, zero % (12 3/8s, 10/1/03), 2008 (In default) (NON) (STP) 460 ........................................................................................................................ 150,000 NTL, Inc. sr. notes Ser. B, 10s, 2007 (United Kingdom) (In default) (NON) 40,500 ........................................................................................................................ 260,000 Olympus Cable bank term loan FRN Ser. B, 5s, 2010 (acquired 6/20/02, cost $226,850) (RES) 217,900 ........................................................................................................................ 1,060,000 ONO Finance PLC sr. notes 13s, 2009 (United Kingdom) 339,200 ........................................................................................................................ 230,000 Rogers Cablesystems, Ltd. sr. notes Ser. B, 10s, 2005 (Canada) 244,950 ........................................................................................................................ 1,310,000 Rogers Cablesystems, Ltd. sr. sub. notes 8.8s, 2007 (Canada) 825,300 ........................................................................................................................ 2,770,000 TeleWest Communications PLC debs. 11s, 2007 (United Kingdom) 1,121,850 ........................................................................................................................ 200,000 TeleWest Communications PLC debs. 9 5/8s, 2006 (United Kingdom) 80,000 ........................................................................................................................ 590,000 TeleWest Communications PLC Structured Notes (issued by DLJ International Capital) 10 7/8s, 2005 (United Kingdom) 249,275 ........................................................................................................................ 50,000 United Pan-Europe NV sr. disc. notes 12 1/2s, 2009 (Netherlands) 5,375 ........................................................................................................................ 7,090,000 United Pan-Europe NV sr. disc. notes stepped-coupon zero % (13 3/4s, 2/1/05), 2010 (Netherlands) (STP) 762,175 ------------------------------------------------------------------------------------------------------------------------ 16,453,086 ------------------------------------------------------------------------------------------------------------------------ Capital Goods (7.8%) ........................................................................................................................ 1,250,000 AEP Industries, Inc. sr. sub. notes 9 7/8s, 2007 1,243,750 ........................................................................................................................ 8,030,000 Allied Waste Industries, Inc. company guaranty Ser. B, 10s, 2009 7,889,475 ........................................................................................................................ 1,660,000 Allied Waste North America, Inc. 144A Structured Notes (issued by Credit and Repackaged Securities) 8.2s, 2006 (Cayman Islands) 1,591,525 ........................................................................................................................ 500,000 Amkor Technologies, Inc. sr. notes 9 1/4s, 2006 410,000 ........................................................................................................................ 810,000 Amkor Technologies, Inc. Structured Notes (issued by STEERS Credit Linked Trust 2000) 12.58s, 2005 583,200 ........................................................................................................................ 1,160,000 Applied Extrusion Technologies, Inc. company guaranty Ser. B, 10 3/4s, 2011 1,044,000 ........................................................................................................................ 1,640,000 Argo-Tech Corp. company guaranty Ser. D, 8 5/8s, 2007 1,492,400 ........................................................................................................................ 1,130,000 Argo-Tech Corp. 144A company guaranty 8 5/8s, 2007 1,028,300 ........................................................................................................................ 130,000 BE Aerospace, Inc. sr. sub. notes 9 1/2s, 2008 125,450 ........................................................................................................................ 2,840,000 BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008 2,612,800 ........................................................................................................................ 2,050,000 Blount, Inc. company guaranty 13s, 2009 1,394,000 ........................................................................................................................ 680,000 Browning-Ferris Industries, Inc. debs. 7.4s, 2035 503,200 ........................................................................................................................ 500,000 Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008 426,250 ........................................................................................................................ 90,000 Case Corp. notes 7 1/4s, 2016 70,200 ........................................................................................................................ 1,930,000 Decrane Aircraft Holdings Co. company guaranty Ser. B, 12s, 2008 1,770,775 ........................................................................................................................ 1,510,000 Earle M. Jorgensen Co. 144A sec. notes 9 3/4s, 2012 1,510,000 ........................................................................................................................ 1,363,000 Flowserve Corp. company guaranty 12 1/4s, 2010 1,533,375 ........................................................................................................................ 390,000 Hexcel Corp. sr. sub. notes 9 3/4s, 2009 296,400 ........................................................................................................................ 1,040,000 High Voltage Engineering Corp. sr. notes 10 3/4s, 2004 374,400 ........................................................................................................................ 650,000 IESI Corp. 144A sr. sub. notes 10 1/4s, 2012 650,000 ........................................................................................................................ 1,880,000 Insilco Holding Co. sr. disc. notes stepped-coupon zero % (14s, 8/15/03), 2008 (STP) 94,000 ........................................................................................................................ 980,000 Jackson Products, Inc. company guaranty Ser. B, 9 1/2s, 2005 656,600 ........................................................................................................................ 870,000 JLG Industries, Inc. 144A sr. sub. notes 8 3/8s, 2012 865,650 ........................................................................................................................ 310,000 Jordan Industries, Inc. sr. notes Ser. D, 10 3/8s, 2007 217,000 ........................................................................................................................ 370,000 Joy Global, Inc. company guaranty Ser. B, 8 3/4s, 2012 379,250 ........................................................................................................................ 690,000 L-3 Communications Corp. company guaranty Ser. B, 8s, 2008 696,900 ........................................................................................................................ 1,660,000 L-3 Communications Corp. sr. sub. notes Ser. B, 10 3/8s, 2007 1,751,798 ........................................................................................................................ 1,000,000 L-3 Communications Corp. Structured Notes (Issued by COUNTS Trust, Series 2001-5) 8.82s, 2009 1,025,000 ........................................................................................................................ 360,000 Laidlaw, Inc. debs. 8 3/4s, 2025 (Canada) (In default) (NON) 223,200 ........................................................................................................................ 230,000 Laidlaw, Inc. debs. 8 1/4s, 2023 (Canada) (In default) (NON) 147,200 ........................................................................................................................ 1,260,000 Laidlaw, Inc. notes 7.65s, 2006 (Canada) (In default) (NON) 800,100 ........................................................................................................................ 860,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 877,200 ........................................................................................................................ 2,095,000 Motors and Gears, Inc. sr. notes Ser. D, 10 3/4s, 2006 1,969,300 ........................................................................................................................ 2,330,000 Owens-Brockway Glass 144A sec. notes 8 7/8s, 2009 2,330,000 ........................................................................................................................ 90,000 Owens-Illinois, Inc. debs. 7.8s, 2018 74,250 ........................................................................................................................ 570,000 Owens-Illinois, Inc. debs. 7 1/2s, 2010 501,600 ........................................................................................................................ 560,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 520,800 ........................................................................................................................ 270,000 Owens-Illinois, Inc. sr. notes 7.35s, 2008 240,300 ........................................................................................................................ 850,000 Pliant Corp. company guaranty 13s, 2010 888,250 ........................................................................................................................ 380,000 Pliant Corp. sr. sub. notes 13s, 2010 397,100 ........................................................................................................................ 1,370,000 Roller Bearing Company of America company guaranty Ser. B, 9 5/8s, 2007 1,311,775 ........................................................................................................................ 2,100,000 Tekni-Plex, Inc. company guaranty Ser. B, 12 3/4s, 2010 2,173,500 ........................................................................................................................ 740,000 Terex Corp. company guaranty 8 7/8s, 2008 751,100 ........................................................................................................................ 730,000 Terex Corp. company guaranty Ser. B, 10 3/8s, 2011 784,750 ........................................................................................................................ 680,537 Transportation Tech. bank term loan FRN 6.155s, 2007 (acquired 2/29/00, cost $680,537) (RES) 612,483 ........................................................................................................................ 730,000 Trimas Corp. 144A sr. sub. notes 9 7/8s, 2012 737,300 ........................................................................................................................ 1,400,000 Waste Management, Inc. sr. notes 7 3/8s, 2010 1,457,652 ........................................................................................................................ 940,000 Waste Management, Inc. sr. notes 6 1/2s, 2008 944,345 ------------------------------------------------------------------------------------------------------------------------ 49,977,903 ------------------------------------------------------------------------------------------------------------------------ Chemicals (5.3%) ........................................................................................................................ 1,660,000 Acetex Corp. sr. notes 10 7/8s, 2009 (Canada) 1,734,700 ........................................................................................................................ 360,000 Airgas, Inc. company guaranty 9 1/8s, 2011 379,800 ........................................................................................................................ 1,000,000 ARCO Chemical Co. debs. 9.8s, 2020 880,000 ........................................................................................................................ 1,910,000 Avecia Group PLC company guaranty 11s, 2009 (United Kingdom) 1,890,900 ........................................................................................................................ 1,040,000 Compass Minerals Group, Inc. company guaranty 10s, 2011 1,092,000 ........................................................................................................................ 3,210,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 3,065,550 ........................................................................................................................ 520,000 Ferro Corp. sr. notes 9 1/8s, 2009 564,680 ........................................................................................................................ 320,000 Georgia Gulf Corp. company guaranty 10 3/8s, 2007 336,000 ........................................................................................................................ 2,250,000 Hercules, Inc. company guaranty 11 1/8s, 2007 2,520,000 ........................................................................................................................ 260,000 Huntsman Corp. bank term loan FRN Ser. C, 5.381s, 2005 (acquired 3/6/02, cost $205,400) (RES) 228,800 ........................................................................................................................ 528,976 Huntsman Corp. bank term loan FRN Ser. L, 5.881s, 2002 (acquired various dates from 3/1/02 to 3/28/02, cost $387,446) (RES) 465,499 ........................................................................................................................ 3,110,000 Huntsman ICI Chemicals, Inc. company guaranty 10 1/8s, 2009 2,736,800 ........................................................................................................................ 1,960,000 Huntsman ICI Holdings sr. disc. notes zero %, 2009 470,400 ........................................................................................................................ 1,620,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 1,738,049 ........................................................................................................................ 3,000,000 ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011 3,075,000 ........................................................................................................................ 290,000 Lyondell Chemical Co. bonds 11 1/8s, 2012 287,825 ........................................................................................................................ 610,000 Lyondell Chemical Co. company guaranty 9 1/2s, 2008 567,300 ........................................................................................................................ 2,340,000 Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 2,223,000 ........................................................................................................................ 810,000 Lyondell Chemical Co. sec. notes Ser. B, 9 7/8s, 2007 773,550 ........................................................................................................................ 790,000 Lyondell Chemical Co. sr. sub. notes 10 7/8s, 2009 683,350 ........................................................................................................................ 690,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 710,700 ........................................................................................................................ 460,000 Millenium America, Inc. company guaranty 7s, 2006 432,823 ........................................................................................................................ 730,000 Millenium America, Inc. 144A sr. notes 9 1/4s, 2008 737,227 ........................................................................................................................ 920,000 Noveon, Inc. company guaranty Ser. B, 11s, 2011 987,850 ........................................................................................................................ 1,550,000 OM Group, Inc. company guaranty 9 1/4s, 2011 1,604,250 ........................................................................................................................ 477,514 PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada) 334,260 ........................................................................................................................ 739,172 Pioneer Companies, Inc. sec. FRN 5.381s, 2006 510,029 ........................................................................................................................ 100,000 Polymer Group, Inc. company guaranty Ser. B, 9s, 2007 (In default) (NON) 20,000 ........................................................................................................................ 610,000 Polymer Group, Inc. company guaranty Ser. B, 8 3/4s, 2008 (In default) (NON) 122,000 ........................................................................................................................ 2,200,000 Royster-Clark, Inc. 1st mtge. 10 1/4s, 2009 1,540,000 ........................................................................................................................ 2,040,000 Sterling Chemicals Holdings sr. disc. notes 13 1/2s, 2008 (In default) (NON) 10,200 ........................................................................................................................ 1,020,000 Sterling Chemicals, Inc. company guaranty Ser. B, 12 3/8s, 2006 (In default) (NON) 948,600 ........................................................................................................................ 60,000 Texas Petrochemical Corp. sr. sub. notes 11 1/8s, 2006 50,400 ........................................................................................................................ 420,000 Texas Petrochemical Corp. sr. sub. notes Ser. B, 11 1/8s, 2006 327,600 ------------------------------------------------------------------------------------------------------------------------ 34,049,142 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (0.4%) ........................................................................................................................ 2,700,000 Coinmach Corp. 144A sr. notes 9s, 2010 2,700,000 ------------------------------------------------------------------------------------------------------------------------ Communication Services (5.2%) ........................................................................................................................ 2,060,000 360Networks, Inc. sr. notes 13s, 2008 (Canada) (In default) (NON) 20,600 ........................................................................................................................ 1,310,000 Airgate PCS, Inc. sr. sub. notes stepped-coupon zero % (13 1/2s, 10/1/04), 2009 (STP) 262,000 ........................................................................................................................ 1,290,000 Alamosa Delaware, Inc. company guaranty 13 5/8s, 2011 387,000 ........................................................................................................................ 550,000 Alamosa Delaware, Inc. company guaranty 12 1/2s, 2011 154,000 ........................................................................................................................ 2,609,000 Alamosa PCS Holdings, Inc. company guaranty stepped-coupon zero % (12 7/8s, 2/15/05), 2010 (STP) 339,170 ........................................................................................................................ 523,860 American Cellular Corp. bank term loan FRN Ser. C, 5.27s, 2009 (acquired 2/29/00, cost $523,860) (RES) 377,703 ........................................................................................................................ 460,514 American Cellular Corp. bank term loan FRN Ser. B, 5.02s, 2008 (acquired 2/29/00, cost $460,514) (RES) 332,031 ........................................................................................................................ 2,100,000 American Cellular Corp. company guaranty 9 1/2s, 2009 336,000 ........................................................................................................................ 2,340,000 American Tower Corp. sr. notes 9 3/8s, 2009 1,287,000 ........................................................................................................................ 1,300,000 American Tower, Inc. Structured Notes (issued by STEERS Credit Linked Trust 2000) 12.58s, 2005 910,000 ........................................................................................................................ 240,000 Arch Communications, Inc. sr. notes 13 3/4s, 2008 (In default) (NON) 1,200 ........................................................................................................................ 130,000 Arch Communications, Inc. sr. notes 13s, 2007 (In default) (NON) 650 ........................................................................................................................ 80,000 Arch Wireless Holdings, Inc. sec. notes 10s, 2007 66,400 ........................................................................................................................ 40,000 Arch Wireless Holdings, Inc. sub. notes 12s, 2009 33,200 ........................................................................................................................ 1,080,000 Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) (NON) 259,200 ........................................................................................................................ 1,660,000 Birch Telecommunications, Inc. sr. notes 14s, 2008 (In default) (NON) 16,600 ........................................................................................................................ 149,319 Call-Net Enterprises, Inc. company guaranty 10 5/8s, 2008 (Canada) 49,275 ........................................................................................................................ 1,042,792 Colo.com, Inc. 144A sr. notes 13 7/8s, 2010 (In default) (NON) 20,856 ........................................................................................................................ 1,060,000 Crown Castle International Corp. sr. disc. notes stepped-coupon zero % (10 3/8s, 5/15/04), 2011 (STP) 477,000 ........................................................................................................................ 530,000 Crown Castle International Corp. sr. notes 10 3/4s, 2011 344,500 ........................................................................................................................ 1,700,000 Crown Castle International Corp. sr. notes 9 3/8s, 2011 1,071,000 ........................................................................................................................ 5,150,000 Cybernet Internet Services International, Inc. 144A sr. disc. notes stepped-coupon zero % (13s, 8/15/04), 2009 (Denmark) (STP) 515 ........................................................................................................................ 1,390,000 Dobson/Sygnet Communications, Inc. sr. notes 12 1/4s, 2008 861,800 ........................................................................................................................ 1,330,000 Econophone, Inc. company guaranty 13 1/2s, 2007 (In default) (NON) 1,330 ........................................................................................................................ 2,540,000 Equinix, Inc. sr. notes 13s, 2007 381,000 ........................................................................................................................ 4,390,000 Firstworld Communication Corp. sr. disc. notes stepped-coupon zero % (13s, 4/15/03), 2008 (In default) (NON) (STP) 439,000 ........................................................................................................................ 920,000 FLAG, Ltd. 144A sr. notes 8 1/4s, 2008 (Bermuda) (In default) (NON) 46,000 ........................................................................................................................ 280,000 Global Crossing Holdings, Ltd. company guaranty 9 5/8s, 2008 (Bermuda) (In default) (NON) 2,100 ........................................................................................................................ 280,000 Global Crossing Holdings, Ltd. company guaranty 9 1/2s, 2009 (Bermuda) (In default) (NON) 2,100 ........................................................................................................................ 3,480,000 Global Crossing Holdings, Ltd. company guaranty 9 1/8s, 2006 (Bermuda) (In default) (NON) 26,100 ........................................................................................................................ 1,570,000 Globix Corp. sr. notes 12 1/2s, 2010 (In default) (NON) 274,750 ........................................................................................................................ 260,000 Horizon PCS, Inc. 144A sr. notes 13 3/4s, 2011 85,800 ........................................................................................................................ 270,000 Hyperion Telecommunications Corp., Inc. sr. disc. notes Ser. B, zero %, 2003 (In default) (NON) 675 ........................................................................................................................ 2,300,000 Hyperion Telecommunications Corp., Inc. sr. sub. notes 12s, 2007 (In default) (NON) 5,750 ........................................................................................................................ 2,030,000 iPCS, Inc. sr. disc. notes stepped-coupon zero % (14s, 7/15/05), 2010 (STP) 304,500 ........................................................................................................................ 1,490,000 IWO Holdings, Inc. company guaranty 14s, 2011 573,650 ........................................................................................................................ 2,010,000 Leap Wireless International, Inc. company guaranty 12 1/2s, 2010 241,200 ........................................................................................................................ 1,018,000 Level 3 Communications, Inc. sr. disc. notes stepped-coupon zero % (10 1/2s, 12/1/03), 2008 (STP) 183,240 ........................................................................................................................ 2,690,000 McCaw International, Ltd. sr. disc. notes 13s, 2007 (In default) (NON) 26,900 ........................................................................................................................ 450,000 Metrocall, Inc. sr. sub. notes 11s, 2008 (In default) (NON) 4,500 ........................................................................................................................ 210,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 (In default) (NON) 525 ........................................................................................................................ 525,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 (In default) (NON) 3,938 ........................................................................................................................ 2,140,000 Metromedia Fiber Network, Inc. sr. notes Ser. B, 10s, 2008 (In default) (NON) 21,400 ........................................................................................................................ 1,770,000 Microcell Telecommunications sr. disc. notes Ser. B, 14s, 2006 (Canada) 177,000 ........................................................................................................................ 812,000 Millicom International Cellular SA sr. disc. notes 13 1/2s, 2006 (Luxembourg) 284,200 ........................................................................................................................ 1,460,000 Nextel Communications, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 10/31/02), 2007 (STP) 730,000 ........................................................................................................................ 3,000,000 Nextel Communications, Inc. sr. notes 12s, 2008 1,650,000 ........................................................................................................................ 300,000 Nextel Communications, Inc. sr. notes 9 1/2s, 2011 150,000 ........................................................................................................................ 4,850,000 Nextel Communications, Inc. sr. notes 9 3/8s, 2009 2,461,375 ........................................................................................................................ 2,350,000 Nextel Partners, Inc. sr. notes 11s, 2010 893,000 ........................................................................................................................ 410,000 Nextel Partners, Inc. sr. notes 11s, 2010 164,000 ........................................................................................................................ 520,000 NorthEast Optic Network, Inc. sr. notes 12 3/4s, 2008 (In default) (NON) 65,000 ........................................................................................................................ 1,990,000 Orbital Imaging Corp. sr. notes Ser. B, 11 5/8s, 2005 (In default) (NON) 218,900 ........................................................................................................................ 1,480,000 PanAmSat Corp. 144A sr. notes 8 1/2s, 2012 1,373,040 ........................................................................................................................ 2,210,000 Price Communications Wireless, Inc. 144A sr. notes 9 1/8s, 2006 2,301,163 ........................................................................................................................ 430,000 PSINet, Inc. sr. notes 11 1/2s, 2008 (In default) (NON) 41,925 ........................................................................................................................ 830,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 (In default) (NON) 80,925 ........................................................................................................................ 2,140,000 Qwest Capital Funding, Inc. company guaranty 7 3/4s, 2006 1,305,400 ........................................................................................................................ 1,690,000 Qwest Capital Funding, Inc. company guaranty 7s, 2009 921,050 ........................................................................................................................ 1,020,000 Qwest Communications International, Inc. sr. notes Ser. B, 7 1/2s, 2008 606,900 ........................................................................................................................ 700,000 Qwest Corp. 144A notes 8 7/8s, 2012 623,000 ........................................................................................................................ 430,000 Rhythms Netconnections, Inc. sr. notes Ser. B, 14s, 2010 (In default) (NON) 23,650 ........................................................................................................................ 20,000 RSL Communications PLC 144A company guaranty 10 1/2s, 2008 (United Kingdom) (In default) (NON) 400 ........................................................................................................................ 1,175,000 RSL Communications, Ltd. company guaranty 12 1/4s, 2006 (Bermuda) (In default) (NON) 23,500 ........................................................................................................................ 300,000 Rural Cellular Corp. sr. sub. notes Ser. B, 9 5/8s, 2008 135,000 ........................................................................................................................ 1,190,000 SBA Communications Corp. sr. notes 10 1/4s, 2009 684,250 ........................................................................................................................ 1,600,000 Spectrasite Holdings, Inc. sr. disc. notes stepped-coupon zero % (11 1/8s, 4/15/04), 2009 (STP) 408,000 ........................................................................................................................ 2,950,000 Startec Global Communications Corp. sr. notes 12s, 2008 (In default) (NON) 59,000 ........................................................................................................................ 610,000 Tele1 Europe B.V. sr. notes 13s, 2009 (Netherlands) 79,300 ........................................................................................................................ 281,000 Telecorp PCS, Inc. company guaranty 10 5/8s, 2010 278,054 ........................................................................................................................ 246,000 Telecorp PCS, Inc. company guaranty stepped-coupon zero % (11 5/8s, 4/15/04), 2009 (STP) 186,960 ........................................................................................................................ 1,330,000 Telehub Communications Corp. company guaranty stepped-coupon zero % (13 7/8s, 7/31/02), 2005 (In default) (NON) (STP) 1 ........................................................................................................................ 1,150,000 Time Warner Telecom, Inc. sr. notes 9 3/4s, 2008 540,500 ........................................................................................................................ 339,000 Tritel PCS, Inc. company guaranty 10 3/8s, 2011 308,490 ........................................................................................................................ 260,000 Triton PCS, Inc. company guaranty 9 3/8s, 2011 166,400 ........................................................................................................................ 1,560,000 Triton PCS, Inc. company guaranty 8 3/4s, 2011 951,600 ........................................................................................................................ 1,000,000 TSI Telecommunication Services, Inc. 144A sr. sub. notes 12 3/4s, 2009 960,000 ........................................................................................................................ 3,450,000 UbiquiTel Operating Co. company guaranty stepped-coupon zero % (14s, 4/15/05), 2010 (STP) 517,500 ........................................................................................................................ 1,760,000 US UnWired, Inc. company guaranty stepped-coupon Ser. B, zero % (13 3/8s, 11/1/04), 2009 (STP) 422,400 ........................................................................................................................ 1,490,000 US West Capital Funding, Inc. company guaranty 6 7/8s, 2028 722,650 ........................................................................................................................ 650,000 Versatel Telecom NV Structured Notes (issued by CRAVE Trust 2000) 15.065s, 2005 (Netherlands) 123,500 ........................................................................................................................ 1,360,000 WebLink Wireless, Inc. sr. disc. notes stepped-coupon zero % (11 1/4s, 2/1/03), 2008 (STP) 3,400 ........................................................................................................................ 3,000,000 Western Wireless Corp. bank term loan FRN Ser. B, 4.745s, 2008 (acquired 4/24/00, cost $3,000,000) (RES) 2,142,000 ........................................................................................................................ 280,000 Williams Communications Group, Inc. sr. notes 11 7/8s, 2010 (In default) (NON) 21,700 ........................................................................................................................ 340,000 Williams Communications Group, Inc. sr. notes 10.7s, 2007 (In default) (NON) 26,350 ........................................................................................................................ 7,228,000 WinStar Communications, Inc. sr. disc. notes stepped-coupon zero % (14 3/4s, 4/15/05), 2010 (In default) (NON) (STP) 723 ........................................................................................................................ 1,820,000 WinStar Communications, Inc. sr. notes 12 3/4s, 2010 (In default) (NON) 182 ........................................................................................................................ 300,000 WinStar Communications, Inc. sr. notes 12 1/2s, 2008 (In default) (NON) 30 ........................................................................................................................ 1,870,000 World Access, Inc. sr. notes Ser. B, 13 1/4s, 2008 (In default) (NON) 65,450 ........................................................................................................................ 1,320,000 WorldCom, Inc. notes 7 3/4s, 2007 (In default) (NON) 211,200 ........................................................................................................................ 760,000 WorldCom, Inc. sr. notes 6.4s, 2005 (In default) (NON) 121,600 ........................................................................................................................ 300,000 WorldCom, Inc.-WorldCom Group notes 8 1/4s, 2010 (In default) (NON) 48,000 ........................................................................................................................ 770,000 WorldCom, Inc.-WorldCom Group notes 7 1/2s, 2011 (In default) (NON) 123,200 ------------------------------------------------------------------------------------------------------------------------ 33,634,026 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (0.5%) ........................................................................................................................ 4,190,000 Tyco International Group SA company guaranty 6 3/8s, 2006 (Luxembourg) 3,331,050 ------------------------------------------------------------------------------------------------------------------------ Construction (0.7%) ........................................................................................................................ 214,000 American Standard Companies, Inc. company guaranty 7 5/8s, 2010 216,140 ........................................................................................................................ 1,782,000 American Standard Companies, Inc. company guaranty 7 3/8s, 2005 1,799,820 ........................................................................................................................ 1,180,000 Better Minerals & Aggregates Co. company guaranty 13s, 2009 1,062,000 ........................................................................................................................ 860,000 Nortek, Inc. sr. notes Ser. B, 8 7/8s, 2008 862,150 ........................................................................................................................ 120,000 Nortek, Inc. sr. sub. notes Ser. B, 9 7/8s, 2011 120,600 ........................................................................................................................ 685,000 Nortek, Inc. 144A sr. notes Ser. B, 9 1/8s, 2007 696,988 ------------------------------------------------------------------------------------------------------------------------ 4,757,698 ------------------------------------------------------------------------------------------------------------------------ Consumer (0.9%) ........................................................................................................................ EUR 1,715,286 Derby Cycle Corp. (The) sr. notes 10s, 2008 (In default) (NON) 34,306 ........................................................................................................................ $1,955,810 Derby Cycle Corp. (The) sr. notes 9 3/8s, 2008 (In default) (NON) 19,748 ........................................................................................................................ 1,040,000 Icon Health & Fitness 144A sr. sub. notes 11 1/4s, 2012 1,024,400 ........................................................................................................................ 2,100,000 Jostens, Inc. sr. sub. notes 12 3/4s, 2010 2,331,000 ........................................................................................................................ 3,290,000 Samsonite Corp. sr. sub. notes 10 3/4s, 2008 2,632,000 ------------------------------------------------------------------------------------------------------------------------ 6,041,454 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (0.6%) ........................................................................................................................ 760,000 Armkel, LLC/Armkel Finance sr. sub. notes 9 1/2s, 2009 792,300 ........................................................................................................................ 730,000 French Fragrances, Inc. company guaranty Ser. D, 10 3/8s, 2007 678,900 ........................................................................................................................ 70,000 French Fragrances, Inc. sr. notes Ser. B, 10 3/8s, 2007 63,000 ........................................................................................................................ 70,000 Iron Age Holdings Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 5/1/03), 2009 (STP) 4,813 ........................................................................................................................ 1,090,000 Playtex Products, Inc. company guaranty 9 3/8s, 2011 1,155,400 ........................................................................................................................ 420,000 Revlon Consumer Products sr. notes 9s, 2006 294,000 ........................................................................................................................ 480,000 Revlon Consumer Products sr. notes 8 1/8s, 2006 336,000 ........................................................................................................................ 910,000 Revlon Consumer Products sr. sub. notes 8 5/8s, 2008 409,500 ------------------------------------------------------------------------------------------------------------------------ 3,733,913 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.3%) ........................................................................................................................ 1,200,000 Outsourcing Solutions, Inc. sr. sub. notes Ser. B, 11s, 2006 1,020,000 ........................................................................................................................ 580,000 United Rentals (North America), Inc. company guaranty Ser. B, 10 3/4s, 2008 617,700 ------------------------------------------------------------------------------------------------------------------------ 1,637,700 ------------------------------------------------------------------------------------------------------------------------ Energy (6.0%) ........................................................................................................................ 1,740,000 Belco Oil & Gas Corp. sr. sub. notes Ser. B, 8 7/8s, 2007 1,792,200 ........................................................................................................................ 1,220,000 BRL Universal Equipment sec. notes 8 7/8s, 2008 1,232,200 ........................................................................................................................ 730,000 Chesapeake Energy Corp. company guaranty 8 3/8s, 2008 726,350 ........................................................................................................................ 2,360,000 Chesapeake Energy Corp. company guaranty 8 1/8s, 2011 2,301,000 ........................................................................................................................ 790,000 Comstock Resources, Inc. company guaranty 11 1/4s, 2007 817,650 ........................................................................................................................ 890,000 Comstock Resources, Inc. 144A sr. notes 11 1/4s, 2007 898,900 ........................................................................................................................ 170,000 Denbury Resources, Inc. company guaranty Ser. B, 9s, 2008 168,300 ........................................................................................................................ 1,480,000 Dresser, Inc. company guaranty 9 3/8s, 2011 1,509,600 ........................................................................................................................ 740,000 El Paso Energy Partners L.P. company guaranty Ser. B, 8 1/2s, 2011 732,600 ........................................................................................................................ 770,000 Encore Acquisition Co. 144A sr. sub. notes 8 3/8s, 2012 770,000 ........................................................................................................................ 660,000 Forest Oil Corp. sr. notes 8s, 2011 660,000 ........................................................................................................................ 640,000 Forest Oil Corp. sr. notes 8s, 2008 643,200 ........................................................................................................................ 820,000 Forest Oil Corp. 144A sr. notes 7 3/4s, 2014 797,450 ........................................................................................................................ 690,000 Key Energy Services, Inc. company guaranty Ser. C, 8 3/8s, 2008 710,700 ........................................................................................................................ 1,235,000 Leviathan Gas Corp. company guaranty Ser. B, 10 3/8s, 2009 1,290,575 ........................................................................................................................ 520,000 Magnum Hunter Resources, Inc. 144A sr. notes 9.6s, 2012 533,000 ........................................................................................................................ 940,000 Mission Resources Corp. company guaranty Ser. C, 10 7/8s, 2007 836,600 ........................................................................................................................ 1,380,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 1,380,000 ........................................................................................................................ 2,067,000 Ocean Energy, Inc. company guaranty Ser. B, 8 3/8s, 2008 2,186,307 ........................................................................................................................ 770,000 Parker & Parsley Co. sr. notes 8 1/4s, 2007 781,550 ........................................................................................................................ 1,000,000 Parker Drilling Co. company guaranty Ser. AI, 10 1/8s, 2009 1,025,000 ........................................................................................................................ 270,000 Parker Drilling Co. 144A company guaranty 10 1/8s, 2009 276,750 ........................................................................................................................ 540,000 Petronas Capital, Ltd. 144A company guaranty 7s, 2012 (Malaysia) 548,802 ........................................................................................................................ 1,770,000 Pioneer Natural Resources Co. company guaranty 9 5/8s, 2010 1,982,400 ........................................................................................................................ 450,000 Pioneer Natural Resources Co. company guaranty 7 1/2s, 2012 447,750 ........................................................................................................................ 1,090,000 Plans Exploration & Production Co. 144A sr. sub. notes 8 3/4s, 2012 1,079,100 ........................................................................................................................ 920,000 Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 920,000 ........................................................................................................................ 120,000 Pride International, Inc. sr. notes 10s, 2009 129,000 ........................................................................................................................ 1,430,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 1,490,775 ........................................................................................................................ 630,000 Seven Seas Petroleum, Inc. sr. notes Ser. B, 12 1/2s, 2005 365,400 ........................................................................................................................ 2,280,000 Stone Energy Corp. company guaranty 8 3/4s, 2007 2,342,700 ........................................................................................................................ 190,000 Stone Energy Corp. sr. sub. notes 8 1/4s, 2011 191,425 ........................................................................................................................ 640,000 Swift Energy Co. sr. sub. notes 10 1/4s, 2009 608,000 ........................................................................................................................ 910,000 Swift Energy Co. sr. sub. notes 9 3/8s, 2012 864,500 ........................................................................................................................ 1,210,000 Trico Marine Services, Inc. 144A sr. notes 8 7/8s, 2012 1,197,900 ........................................................................................................................ 1,690,000 Vintage Petroleum, Inc. sr. sub. notes 9 3/4s, 2009 1,639,300 ........................................................................................................................ 730,000 Vintage Petroleum, Inc. 144A sr. notes 8 1/4s, 2012 717,225 ........................................................................................................................ 700,000 Westport Resources Corp. company guaranty 8 1/4s, 2011 714,000 ........................................................................................................................ 800,000 XTO Energy, Inc. sr. notes 7 1/2s, 2012 812,000 ........................................................................................................................ 620,000 XTO Energy, Inc. 144A sr. sub. notes Ser. B, 8 3/4s, 2009 649,450 ------------------------------------------------------------------------------------------------------------------------ 38,769,659 ------------------------------------------------------------------------------------------------------------------------ Entertainment (1.6%) ........................................................................................................................ 1,349,000 AMC Entertainment, Inc. sr. sub. notes 9 1/2s, 2011 1,335,510 ........................................................................................................................ 190,000 AMC Entertainment, Inc. sr. sub. notes 9 1/2s, 2009 188,100 ........................................................................................................................ 1,695,000 Cinemark USA, Inc. sr. sub. notes Ser. B, 8 1/2s, 2008 1,627,200 ........................................................................................................................ 1,410,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 1,441,725 ........................................................................................................................ 1,390,000 Regal Cinemas, Inc. 144A sr. sub. notes 9 3/8s, 2012 1,445,600 ........................................................................................................................ 900,000 Silver Cinemas, Inc. sr. sub. notes 10 1/2s, 2005 (In default) (NON) 90 ........................................................................................................................ 3,990,000 Six Flags, Inc. sr. notes 8 7/8s, 2010 3,990,000 ------------------------------------------------------------------------------------------------------------------------ 10,028,225 ------------------------------------------------------------------------------------------------------------------------ Financial (3.8%) ........................................................................................................................ 2,545,000 Advanta Corp. 144A company guaranty Ser. B, 8.99s, 2026 1,552,450 ........................................................................................................................ 1,922,000 AMRESCO, Inc. sr. sub. notes Ser. 98-A, 9 7/8s, 2005 (In default) (NON) 408,425 ........................................................................................................................ 1,142,000 Chevy Chase Savings Bank, Inc. sub. debs. 9 1/4s, 2005 1,144,855 ........................................................................................................................ 1,315,000 Colonial Capital II 144A company guaranty 8.92s, 2027 1,186,839 ........................................................................................................................ 190,000 Comdisco, Inc. notes 7 1/4s, 2001 (In default) (DEF)(NON) 161,975 ........................................................................................................................ 220,000 Comdisco, Inc. notes 6 3/8s, 2001 (In default) (DEF)(NON) 183,425 ........................................................................................................................ 410,000 Comdisco, Inc. notes 5.95s, 2002 (In default) (DEF)(NON) 343,375 ........................................................................................................................ 780,000 Conseco Finance Trust III, Inc. bonds 8.796s, 2027 140,400 ........................................................................................................................ 860,000 Conseco Financing Trust II company guaranty 8.7s, 2026 154,800 ........................................................................................................................ 310,000 Conseco, Inc. 144A company guaranty 10 3/4s, 2009 151,900 ........................................................................................................................ 460,000 Conseco, Inc. 144A company guaranty 8 3/4s, 2006 220,800 ........................................................................................................................ 210,000 Crescent Real Estate Equities LP FRN 7 1/2s, 2007 205,800 ........................................................................................................................ 2,130,000 Crescent Real Estate Equities LP 144A sr. notes 9 1/4s, 2009 2,203,731 ........................................................................................................................ 190,000 Dime Capital Trust I bank guaranty Ser. A, 9.33s, 2027 207,197 ........................................................................................................................ 4,867,000 Finova Group, Inc. notes 7 1/2s, 2009 1,557,440 ........................................................................................................................ 1,770,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,874,111 ........................................................................................................................ 594,000 Imperial Credit Industries, Inc. sec. notes 12s, 2005 65,340 ........................................................................................................................ 720,000 iStar Financial, Inc. sr. notes 8 3/4s, 2008 720,000 ........................................................................................................................ 890,000 Nationwide Credit, Inc. sr. notes Ser. A, 10 1/4s, 2008 (In default) (NON) 253,650 ........................................................................................................................ 280,000 North Fork Capital Trust I company guaranty 8.7s, 2026 271,166 ........................................................................................................................ 380,000 Ocwen Capital Trust I company guaranty 10 7/8s, 2027 307,800 ........................................................................................................................ 700,000 Ocwen Federal Bank sub. debs. 12s, 2005 700,000 ........................................................................................................................ 240,000 Ocwen Financial Corp. notes 11 7/8s, 2003 238,800 ........................................................................................................................ 1,590,000 Peoples Bank-Bridgeport sub. notes 9 7/8s, 2010 1,681,489 ........................................................................................................................ 280,000 Peoples Heritage Capital Trust company guaranty Ser. B, 9.06s, 2027 285,225 ........................................................................................................................ 1,330,000 Provident Capital Trust company guaranty 8.6s, 2026 1,174,856 ........................................................................................................................ 1,055,000 Reliance Group Holdings, Inc. sr. notes 9s, 2000 (In default) (DEF)(NON) 116,050 ........................................................................................................................ 2,430,000 Resource America, Inc. 144A sr. notes 12s, 2004 2,490,750 ........................................................................................................................ 1,340,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 1,474,000 ........................................................................................................................ 1,240,000 Superior Financial Corp. 144A sr. notes 8.65s, 2003 1,267,552 ........................................................................................................................ 715,000 Webster Capital Trust I 144A bonds 9.36s, 2027 710,760 ........................................................................................................................ 1,070,000 Western Financial Bank sub. debs. 9 5/8s, 2012 1,059,300 ------------------------------------------------------------------------------------------------------------------------ 24,514,261 ------------------------------------------------------------------------------------------------------------------------ Food (1.4%) ........................................................................................................................ 2,130,000 Archibald Candy Corp. company guaranty 10 1/4s, 2004 (In default) (NON) 1,171,500 ........................................................................................................................ 830,000 Aurora Foods, Inc. sr. sub. notes Ser. B, 9 7/8s, 2007 522,900 ........................................................................................................................ 1,765,000 Aurora Foods, Inc. 144A sr. sub. notes Ser. D, 9 7/8s, 2007 1,111,950 ........................................................................................................................ 410,000 Del Monte Corp. company guaranty Ser. B, 9 1/4s, 2011 422,300 ........................................................................................................................ 1,035,000 Doane Pet Care Co. sr. sub. debs. 9 3/4s, 2007 910,800 ........................................................................................................................ 1,485,000 Eagle Family Foods company guaranty Ser. B, 8 3/4s, 2008 1,143,450 ........................................................................................................................ 1,190,000 Premier International Foods PLC sr. notes 12s, 2009 (United Kingdom) 1,303,050 ........................................................................................................................ 1,600,000 RAB Enterprises, Inc. company guaranty 10 1/2s, 2005 960,000 ........................................................................................................................ 1,940,000 RAB Holdings, Inc. sr. notes 13s, 2008 679,000 ........................................................................................................................ 399,499 Suiza Foods Corp. bank term loan FRN Ser. B, 4.3s, 2008 (acquired 4/26/02, cost $402,246) (RES) 401,185 ........................................................................................................................ 2,655,000 Vlasic Foods International, Inc. sr. sub. notes Ser. B, 10 1/4s, 2009 (In default) (NON) 570,825 ------------------------------------------------------------------------------------------------------------------------ 9,196,960 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (6.9%) ........................................................................................................................ 890,000 Aladdin Gaming Holdings, LLC sr. disc. notes stepped-coupon Ser. B, zero % (13 1/2s, 3/1/03), 2010 (In default) (NON) (STP) 26,700 ........................................................................................................................ 655,000 Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009 699,213 ........................................................................................................................ 1,290,000 Argosy Gaming Co. company guaranty 10 3/4s, 2009 1,389,975 ........................................................................................................................ 280,000 Argosy Gaming Co. sr. sub. notes 9s, 2011 287,000 ........................................................................................................................ 1,577,590 Autotote Corp. bank term loan FRN 6.166s, 2007 (acquired 10/13/00, cost $1,573,646) (RES) 1,581,042 ........................................................................................................................ 1,330,000 Autotote Corp. company guaranty Ser. B, 12 1/2s, 2010 1,489,600 ........................................................................................................................ 350,000 Boyd Gaming Corp. sr. sub. notes 9 1/2s, 2007 353,938 ........................................................................................................................ 1,320,000 Boyd Gaming Corp. 144A sr. sub. notes 8 3/4s, 2012 1,320,000 ........................................................................................................................ 580,000 Chumash Casino & Resort Enterprise 144A sr. notes 9s, 2010 585,800 ........................................................................................................................ 948,274 Fitzgeralds Gaming Corp. company guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 333,081 ........................................................................................................................ 1,200,000 Herbst Gaming, Inc. sec. notes Ser. B, 10 3/4s, 2008 1,260,000 ........................................................................................................................ 2,020,000 Hollywood Casino Corp. company guaranty 11 1/4s, 2007 2,176,550 ........................................................................................................................ 1,760,000 Horseshoe Gaming Holdings company guaranty 8 5/8s, 2009 1,786,400 ........................................................................................................................ 1,790,000 International Game Technology sr. notes 8 3/8s, 2009 1,883,975 ........................................................................................................................ 2,320,000 Majestic Investor Holdings/Majestic Investor Capital Corp. 144A company guaranty 11.653s, 2007 2,204,000 ........................................................................................................................ 150,000 Mandalay Resort Group sr. notes 9 1/2s, 2008 160,500 ........................................................................................................................ 2,480,000 Mandalay Resort Group sr. sub. notes Ser. B, 10 1/4s, 2007 2,647,400 ........................................................................................................................ 210,000 MGM Mirage, Inc. coll. sr. notes 6 7/8s, 2008 203,137 ........................................................................................................................ 2,420,000 MGM Mirage, Inc. company guaranty 8 1/2s, 2010 2,495,214 ........................................................................................................................ 1,120,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 1,145,200 ........................................................................................................................ 720,000 Mikohn Gaming Corp. company guaranty Ser. B, 11 7/8s, 2008 662,400 ........................................................................................................................ 630,000 Mirage Resorts, Inc. notes 6 3/4s, 2008 606,142 ........................................................................................................................ 530,000 Mohegan Tribal Gaming Authority sr. notes 8 1/8s, 2006 540,600 ........................................................................................................................ 1,580,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 1,635,300 ........................................................................................................................ 910,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/8s, 2011 930,475 ........................................................................................................................ 1,890,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 1,842,750 ........................................................................................................................ 1,630,000 Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 1,678,900 ........................................................................................................................ 290,000 Penn National Gaming, Inc. company guaranty Ser. B, 11 1/8s, 2008 311,750 ........................................................................................................................ 1,610,000 Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010 1,585,850 ........................................................................................................................ 2,180,000 Pennisula Gaming LLC company guaranty 12 1/4s, 2006 2,182,725 ........................................................................................................................ 740,000 Resorts International Hotel and Casino, Inc. 144A 1st mtge. 11 1/2s, 2009 678,025 ........................................................................................................................ 790,000 Riviera Black Hawk, Inc. 1st mtge. 13s, 2005 841,350 ........................................................................................................................ 670,000 Station Casinos, Inc. sr. notes 8 3/8s, 2008 685,075 ........................................................................................................................ 820,000 Station Casinos, Inc. sr. sub. notes 9 7/8s, 2010 867,150 ........................................................................................................................ 370,000 Station Casinos, Inc. 144A sr. sub. notes 9 3/4s, 2007 381,563 ........................................................................................................................ 800,000 Trump Atlantic City Associates company guaranty 11 1/4s, 2006 606,000 ........................................................................................................................ 90,000 Trump Atlantic City company guaranty Ser. B, 11 1/4s, 2006 68,175 ........................................................................................................................ 400,000 Trump Castle Funding, Inc. sr. sub. notes 11 3/4s, 2003 356,000 ........................................................................................................................ 2,840,000 Venetian Casino Resort, LLC 144A 2nd mtge. 11s, 2010 2,868,400 ........................................................................................................................ 80,000 Venetian Casino, Inc. company guaranty 12 1/4s, 2004 84,900 ........................................................................................................................ 630,000 Wheeling Island Gaming, Inc. company guaranty 10 1/8s, 2009 648,900 ------------------------------------------------------------------------------------------------------------------------ 44,091,155 ------------------------------------------------------------------------------------------------------------------------ Health Care (6.5%) ........................................................................................................................ 1,530,000 ALARIS Medical Systems, Inc. sec. notes Ser. B, 11 5/8s, 2006 1,698,300 ........................................................................................................................ 705,000 ALARIS Medical Systems, Inc. 144A company guaranty 9 3/4s, 2006 699,713 ........................................................................................................................ 510,000 ALARIS Medical, Inc. sr. disc. notes stepped-coupon zero % (11 1/8s, 8/1/03), 2008 (STP) 428,400 ........................................................................................................................ 3,008,000 Alderwoods Group, Inc. company guaranty 12 1/4s, 2009 3,023,040 ........................................................................................................................ 28,800 Alderwoods Group, Inc. company guaranty 11s, 2007 28,944 ........................................................................................................................ 860,000 Alliance Imaging, Inc. sr. sub. notes 10 3/8s, 2011 925,575 ........................................................................................................................ 1,040,000 AmerisourceBergen Corp. sr. notes 8 1/8s, 2008 1,071,200 ........................................................................................................................ 730,000 Bio-Rad Labs Corp. sr. sub. notes 11 5/8s, 2007 813,950 ........................................................................................................................ 1,610,000 Biovail Corp. sr. sub. notes 7 7/8s, 2010 (Canada) 1,566,497 ........................................................................................................................ 560,000 Conmed Corp. company guaranty 9s, 2008 578,200 ........................................................................................................................ 950,000 Extendicare Health Services, Inc. 144A sr. notes 9 1/2s, 2010 952,375 ........................................................................................................................ 69,200 Genesis Health Ventures, Inc. sec. notes FRN 7.038s, 2007 68,508 ........................................................................................................................ 1,510,000 Hanger Orthopedic Group, Inc. company guaranty 10 3/8s, 2009 1,581,725 ........................................................................................................................ 60,000 Hanger Orthopedic Group, Inc. sr. sub. notes 11 1/4s, 2009 61,200 ........................................................................................................................ 1,540,000 HCA, Inc. debs. 7.19s, 2015 1,555,924 ........................................................................................................................ 2,720,000 HCA, Inc. notes 8 3/4s, 2010 3,043,642 ........................................................................................................................ 670,000 HCA, Inc. notes 8.36s, 2024 711,962 ........................................................................................................................ 200,000 HCA, Inc. notes 7s, 2007 204,870 ........................................................................................................................ 520,000 HCA, Inc. sr. notes 7 7/8s, 2011 552,453 ........................................................................................................................ 1,920,000 Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 2,083,200 ........................................................................................................................ 900,000 Insight Health Services Corp. company guaranty Ser. B, 9 7/8s, 2011 904,500 ........................................................................................................................ 1,980,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/2s, 2007 (In default) (NON) 198 ........................................................................................................................ 1,190,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/4s, 2008 (In default) (NON) 119 ........................................................................................................................ 1,705,000 Kinetic Concepts, Inc. company guaranty Ser. B, 9 5/8s, 2007 1,696,475 ........................................................................................................................ 2,620,000 Magellan Health Services, Inc. sr. sub. notes 9s, 2008 943,200 ........................................................................................................................ 70,000 Magellan Health Services, Inc. 144A sr. notes 9 3/8s, 2007 53,900 ........................................................................................................................ 6,090,000 Mariner Post-Acute Network, Inc. sr. sub. notes stepped-coupon Ser. B, zero % (10 1/2s, 11/1/02), 2007 (In default) (NON) (STP) 45,675 ........................................................................................................................ 1,830,000 Mediq, Inc. company guaranty 11s, 2008 (In default) (NON) 18,300 ........................................................................................................................ 1,850,000 Mediq, Inc. debs. stepped-coupon zero % (13s, 6/1/03), 2009 (In default) (NON) (STP) 185 ........................................................................................................................ 5,470,000 Multicare Companies, Inc. sr. sub. notes 9s, 2007 (In default) (NON) 547 ........................................................................................................................ 980,000 Omnicare, Inc. company guaranty Ser. B, 8 1/8s, 2011 1,014,300 ........................................................................................................................ 2,500,000 PacifiCare Health Systems, Inc. 144A sr. notes 10 3/4s, 2009 2,525,000 ........................................................................................................................ 1,190,000 Rotech Healthcare, Inc. 144A sr. sub. notes 9 1/2s, 2012 1,207,850 ........................................................................................................................ 660,000 Service Corp. International debs. 7 7/8s, 2013 598,125 ........................................................................................................................ 270,000 Service Corp. International notes 7.7s, 2009 253,800 ........................................................................................................................ 2,480,000 Service Corp. International notes 6s, 2005 2,250,600 ........................................................................................................................ 1,350,000 Stewart Enterprises, Inc. notes 10 3/4s, 2008 1,498,500 ........................................................................................................................ 1,300,000 Triad Hospitals Holdings company guaranty Ser. B, 11s, 2009 1,443,000 ........................................................................................................................ 2,820,000 Triad Hospitals, Inc. company guaranty Ser. B, 8 3/4s, 2009 2,932,800 ........................................................................................................................ 1,030,000 Vanguard Health Systems, Inc. company guaranty 9 3/4s, 2011 1,071,200 ........................................................................................................................ 1,360,000 Ventas Realty LP/Capital Corp. 144A sr. notes 9s, 2012 1,387,200 ------------------------------------------------------------------------------------------------------------------------ 41,495,152 ------------------------------------------------------------------------------------------------------------------------ Homebuilding (2.1%) ........................................................................................................................ 1,090,000 Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 1,095,450 ........................................................................................................................ 660,000 D.R. Horton, Inc. company guaranty 8s, 2009 655,050 ........................................................................................................................ 690,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 672,750 ........................................................................................................................ 560,000 D.R. Horton, Inc. 144A sr. notes 8 1/2s, 2012 568,400 ........................................................................................................................ 1,130,000 Del Webb Corp. sr. sub. debs. 9 3/8s, 2009 1,192,150 ........................................................................................................................ 860,000 K. Hovnanian Enterprises, Inc. company guaranty 10 1/2s, 2007 941,700 ........................................................................................................................ 270,000 K. Hovnanian Enterprises, Inc. 144A sr. notes 8s, 2012 263,250 ........................................................................................................................ 70,000 K. Hovnanian Enterprises, Inc. 144A sr. sub. notes 8 7/8s, 2012 68,950 ........................................................................................................................ 1,830,000 KB Home sr. sub. notes 9 1/2s, 2011 1,884,900 ........................................................................................................................ 300,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 330,000 ........................................................................................................................ 1,170,000 Lennar Corp. sr. notes 7 5/8s, 2009 1,210,950 ........................................................................................................................ 160,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 162,400 ........................................................................................................................ 1,660,000 Ryland Group, Inc. sr. notes 9 3/4s, 2010 1,809,400 ........................................................................................................................ 70,000 Schuler Homes, Inc. company guaranty 9s, 2008 71,400 ........................................................................................................................ 450,000 Standard Pacific Corp. sr. notes 9 1/2s, 2010 477,000 ........................................................................................................................ 200,000 Standard Pacific Corp. sr. notes 8 1/2s, 2009 201,000 ........................................................................................................................ 1,050,000 Toll Corp. company guaranty 8 1/8s, 2009 1,050,000 ........................................................................................................................ 130,000 Toll Corp. sr. sub. notes 8 1/4s, 2011 130,000 ........................................................................................................................ 900,000 WCI Communities, Inc. company guaranty 9 1/8s, 2012 891,000 ------------------------------------------------------------------------------------------------------------------------ 13,675,750 ------------------------------------------------------------------------------------------------------------------------ Household Furniture and Appliances (0.4%) ........................................................................................................................ 2,230,000 Sealy Mattress Co. company guaranty stepped-coupon Ser. B, zero % (10 7/8s, 12/15/02), 2007 (STP) 2,190,975 ........................................................................................................................ 460,000 Sealy Mattress Co. sr. sub. notes Ser. B, 9 7/8s, 2007 464,600 ------------------------------------------------------------------------------------------------------------------------ 2,655,575 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (2.8%) ........................................................................................................................ 2,960,000 Felcor Lodging LP company guaranty 9 1/2s, 2008 (R) 2,974,800 ........................................................................................................................ 456,000 Felcor Lodging LP company guaranty 8 1/2s, 2008 (R) 444,600 ........................................................................................................................ 5,840,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 5,577,200 ........................................................................................................................ 510,000 Host Marriott L.P. company guaranty Ser. G, 9 1/4s, 2007 510,000 ........................................................................................................................ 620,000 Host Marriott L.P. sr. notes Ser. E, 8 3/8s, 2006 610,700 ........................................................................................................................ 1,330,000 ITT Corp. notes 6 3/4s, 2005 1,307,975 ........................................................................................................................ 2,090,000 John Q. Hamons Hotels 144A 1st mtge. 8 7/8s, 2012 2,058,650 ........................................................................................................................ 700,000 Lodgian Financing Corp. company guaranty 12 1/4s, 2009 (In default) (NON) 385,000 ........................................................................................................................ 898,000 Meristar Hospitality Corp. company guaranty 9 1/8s, 2011 871,060 ........................................................................................................................ 40,000 Meristar Hospitality Corp. company guaranty 9s, 2008 38,800 ........................................................................................................................ 600,000 MeriStar Hospitality Operating Partnership/MeriStar Hospitality Finance Corp. 144A sr. notes 10 1/2s, 2009 (R) 609,000 ........................................................................................................................ 1,020,000 RFS Partnership LP company guaranty 9 3/4s, 2012 1,025,100 ........................................................................................................................ 910,000 Starwood Hotels & Resorts Worldwide, Inc. 144A notes 7 7/8s, 2012 899,590 ........................................................................................................................ 380,000 Travel Centers of America, Inc. company guaranty 12 3/4s, 2009 406,600 ------------------------------------------------------------------------------------------------------------------------ 17,719,075 ------------------------------------------------------------------------------------------------------------------------ Media (0.6%) ........................................................................................................................ 1,054,700 Adams Outdoor Advertising bank term loan FRN Ser. B, 5.47s, 2008 (acquired 8/1/01, cost $1,053,382) (RES) 1,061,732 ........................................................................................................................ 3,135,000 Affinity Group Holdings sr. notes 11s, 2007 3,072,300 ------------------------------------------------------------------------------------------------------------------------ 4,134,032 ------------------------------------------------------------------------------------------------------------------------ Metals (1.9%) ........................................................................................................................ 890,000 AK Steel Corp. company guaranty 7 7/8s, 2009 890,000 ........................................................................................................................ 1,760,000 AK Steel Corp. company guaranty 7 3/4s, 2012 1,751,200 ........................................................................................................................ 360,000 AK Steel Corp. sr. notes 9 1/8s, 2006 376,200 ........................................................................................................................ 1,259,140 Anker Coal Group, Inc. company guaranty Ser. B, 14 1/4s, 2007 (In default) (NON) (PIK) 415,516 ........................................................................................................................ 720,000 Armco, Inc. sr. notes 9s, 2007 735,300 ........................................................................................................................ 900,000 Armco, Inc. sr. notes 8 7/8s, 2008 871,875 ........................................................................................................................ 910,000 Centaur Mining & Exploration company guaranty 11s, 2007 (Australia) (In default) (NON) 54,600 ........................................................................................................................ 1,870,000 Doe Run Resources Corp. company guaranty Ser. B, 11 1/4s, 2005 (In default) (NON) 486,200 ........................................................................................................................ 230,000 Doe Run Resources Corp. company guaranty Ser. B(a), 11 1/4s, 2005 (In default) (NON) 73,600 ........................................................................................................................ 550,000 Doe Run Resources Corp. company guaranty FRN Ser. B, 8.536s, 2003 (In default) (NON) 126,500 ........................................................................................................................ 490,000 Haynes International, Inc. sr. notes 11 5/8s, 2004 388,325 ........................................................................................................................ 80,000 Kaiser Aluminum & Chemical Corp. sr. notes Ser. B, 10 7/8s, 2006 (In default) (NON) 63,200 ........................................................................................................................ 3,225,000 Kaiser Aluminum & Chemical Corp. sr. sub. notes 12 3/4s, 2003 (In default) (NON) 612,750 ........................................................................................................................ 2,430,000 LTV Corp. company guaranty 11 3/4s, 2009 (In default) (NON) 12,150 ........................................................................................................................ 1,640,000 LTV Corp. company guaranty 8.2s, 2007 (In default) (NON) 2,050 ........................................................................................................................ 704,000 Oregon Steel Mills 1st mtge. 11s, 2003 702,240 ........................................................................................................................ 177,000 P&L Coal Holdings Corp. company guaranty Ser. B, 9 5/8s, 2008 187,620 ........................................................................................................................ 970,000 Phelps Dodge Corp. sr. notes 8 3/4s, 2011 994,414 ........................................................................................................................ 890,000 Steel Dynamics, Inc. 144A sr. notes 9 1/2s, 2009 943,400 ........................................................................................................................ 1,480,000 United States Steel, LLC 144A company guaranty 10 3/4s, 2008 1,531,800 ........................................................................................................................ 1,000,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 540,000 ........................................................................................................................ 160,000 Weirton Steel Corp 144A sr. notes 10 3/4s, 2005 (In default) (NON) 76,800 ........................................................................................................................ 1,500,000 Wheeling-Pittsburgh Steel Corp. sr. notes 9 1/4s, 2007 (In default) (NON) 30,000 ........................................................................................................................ 820,000 WHX Corp. sr. notes 10 1/2s, 2005 623,200 ------------------------------------------------------------------------------------------------------------------------ 12,488,940 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (3.1%) ........................................................................................................................ 1,544,287 Alabama River Newsprint bank term loan FRN 4s, 2002 (acquired 4/30/98, cost $1,371,541) (RES) 1,451,630 ........................................................................................................................ 2,050,000 Appleton Papers, Inc. 144A sr. sub. notes 12 1/2s, 2008 2,050,000 ........................................................................................................................ 1,600,000 Four M Corp. sr. notes Ser. B, 12s, 2006 1,656,000 ........................................................................................................................ 340,000 Georgia-Pacific Corp. notes 8 7/8s, 2031 315,319 ........................................................................................................................ 910,000 Georgia-Pacific Corp. notes 8 1/8s, 2011 861,643 ........................................................................................................................ 290,000 Georgia-Pacific Corp. notes 7 1/2s, 2006 279,279 ........................................................................................................................ 630,000 Norske Skog Canada, Ltd. company guaranty 8 5/8s, 2011 (Canada) 645,750 ........................................................................................................................ 1,490,000 Pacifica Papers, Inc. sr. notes 10s, 2009 (Canada) 1,592,438 ........................................................................................................................ 1,530,000 Potlatch Corp. company guaranty 10s, 2011 1,667,700 ........................................................................................................................ 2,420,000 Riverwood International Corp. company guaranty 10 7/8s, 2008 2,522,850 ........................................................................................................................ 300,000 Riverwood International Corp. company guaranty 10 5/8s, 2007 315,750 ........................................................................................................................ 997,827 Stone Container Corp. bank term loan Ser. G, 5 3/8s, 2006 (acquired 7/17/00, cost $997,827) (RES) 997,292 ........................................................................................................................ 430,000 Stone Container Corp. sr. notes 9 3/4s, 2011 459,025 ........................................................................................................................ 1,460,000 Stone Container Corp. sr. notes 9 1/4s, 2008 1,525,700 ........................................................................................................................ 100,000 Stone Container Corp. 144A company guaranty 11 1/2s, 2006 (Canada) 106,000 ........................................................................................................................ 1,080,000 Stone Container Corp. 144A sr. notes 8 3/8s, 2012 1,086,750 ........................................................................................................................ 65,000 Tembec Industries, Inc. company guaranty 8 5/8s, 2009 (Canada) 66,300 ........................................................................................................................ 1,460,000 Tembec Industries, Inc. company guaranty 8 1/2s, 2011 (Canada) 1,489,200 ........................................................................................................................ 580,000 Tembec Industries, Inc. company guaranty 7 3/4s, 2012 (Canada) 568,400 ------------------------------------------------------------------------------------------------------------------------ 19,657,026 ------------------------------------------------------------------------------------------------------------------------ Publishing (2.8%) ........................................................................................................................ 590,000 Belo Corp. sr. notes 7 1/8s, 2007 591,782 ........................................................................................................................ 880,000 Garden State Newspapers, Inc. sr. sub. notes 8 5/8s, 2011 880,000 ........................................................................................................................ 470,000 Garden State Newspapers, Inc. sr. sub. notes Ser. B, 8 3/4s, 2009 470,000 ........................................................................................................................ 760,000 Hollinger International Publishing, Inc. company guaranty 9 1/4s, 2007 780,900 ........................................................................................................................ 3,373,581 Hollinger Participation Trust 144A sr. notes 12 1/8s, 2010 (Canada) (PIK) 3,171,166 ........................................................................................................................ 980,000 Key3media Group, Inc. company guaranty 11 1/4s, 2011 441,000 ........................................................................................................................ 610,000 Mail-Well I Corp. 144A company guaranty 9 5/8s, 2012 616,100 ........................................................................................................................ 2,775,000 Perry-Judd company guaranty 10 5/8s, 2007 2,691,750 ........................................................................................................................ 2,530,000 PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 1,872,200 ........................................................................................................................ 1,060,000 PRIMEDIA, Inc. company guaranty 7 5/8s, 2008 763,200 ........................................................................................................................ 900,000 PRIMEDIA, Inc. company guaranty Ser. B, 8 1/2s, 2006 684,000 ........................................................................................................................ 720,000 Quebecor Media, Inc. sr. disc. notes stepped-coupon zero % (13 3/4s, 7/15/06), 2011 (Canada) (STP) 417,600 ........................................................................................................................ 880,000 Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada) 871,200 ........................................................................................................................ 1,320,000 Vertis, Inc. 144A sr. notes 10 7/8s, 2009 1,321,650 ........................................................................................................................ 1,010,000 Von Hoffman Press, Inc. 144A company guaranty 10 1/4s, 2009 1,035,250 ........................................................................................................................ 777,310 Von Hoffman Press, Inc. 144A sr. sub. notes 13 1/2s, 2009 660,714 ........................................................................................................................ 435,000 Von Hoffman Press, Inc. 144A sr. sub. notes 10 3/8s, 2007 414,338 ------------------------------------------------------------------------------------------------------------------------ 17,682,850 ------------------------------------------------------------------------------------------------------------------------ Restaurants (0.8%) ........................................................................................................................ 460,000 Domino's, Inc. company guaranty Ser. B, 10 3/8s, 2009 496,225 ........................................................................................................................ 1,071,000 Sbarro, Inc. company guaranty 11s, 2009 1,087,065 ........................................................................................................................ 2,245,000 Tricon Global Restaurants, Inc. sr. notes 8 7/8s, 2011 2,379,700 ........................................................................................................................ 610,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 619,150 ........................................................................................................................ 530,000 Tricon Global Restaurants, Inc. sr. notes 7.45s, 2005 537,950 ------------------------------------------------------------------------------------------------------------------------ 5,120,090 ------------------------------------------------------------------------------------------------------------------------ Retail (2.1%) ........................................................................................................................ 930,000 Amazon.com, Inc. sr. sub. notes stepped-coupon zero % (10s, 5/1/03), 2008 (STP) 846,300 ........................................................................................................................ 1,720,000 Autonation, Inc. company guaranty 9s, 2008 1,763,000 ........................................................................................................................ 1,530,000 Fleming Companies, Inc. company guaranty 10 1/8s, 2008 1,564,425 ........................................................................................................................ 60,000 Fleming Companies, Inc. company guaranty Ser. D, 10 5/8s, 2007 60,300 ........................................................................................................................ 880,000 Fleming Companies, Inc. sr. notes 9 1/4s, 2010 874,500 ........................................................................................................................ 60,000 Fleming Companies, Inc. 144A sr. sub. notes 9 7/8s, 2012 57,600 ........................................................................................................................ 520,000 Great Atlantic & Pacific Tea Co. notes 7 3/4s, 2007 483,600 ........................................................................................................................ 310,000 JC Penney Company, Inc. debs. 7.95s, 2017 280,550 ........................................................................................................................ 350,000 JC Penney Company, Inc. debs. 7.4s, 2037 337,750 ........................................................................................................................ 320,000 JC Penney Company, Inc. notes 7.6s, 2007 313,600 ........................................................................................................................ 320,000 JC Penney Company, Inc. notes 7 3/8s, 2008 312,000 ........................................................................................................................ 630,000 JC Penney Company, Inc. notes Ser. MTNA, 7.05s, 2005 614,250 ........................................................................................................................ 2,500,000 K mart Corp. pass-through certificates Ser. 95K4, 9.35s, 2020 (In default) (NON) 1,350,000 ........................................................................................................................ 115,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 115,000 ........................................................................................................................ 720,000 NBTY, Inc. sr. sub. notes Ser. B, 8 5/8s, 2007 716,400 ........................................................................................................................ 890,000 Rite Aid Corp. notes 7 1/8s, 2007 623,000 ........................................................................................................................ 3,070,000 Saks, Inc. company guaranty 8 1/4s, 2008 2,901,150 ........................................................................................................................ 110,000 Southland Corp. debs. Ser. A, 4 1/2s, 2004 102,300 ........................................................................................................................ 290,000 Southland Corp. sr. sub. debs. 5s, 2003 278,400 ------------------------------------------------------------------------------------------------------------------------ 13,594,125 ------------------------------------------------------------------------------------------------------------------------ Technology (2.3%) ........................................................................................................................ 230,000 Fairchild Semiconductor International, Inc. company guaranty 10 3/8s, 2007 239,200 ........................................................................................................................ 2,550,000 Intira Corp. bonds stepped-coupon zero % (13s, 2/1/05), 2010 (acquired 1/31/00, cost $1,358,921) (In default) (NON) (RES) (STP) 255 ........................................................................................................................ 240,000 Iron Mountain, Inc. company guaranty 8 5/8s, 2013 242,400 ........................................................................................................................ 2,120,000 Iron Mountain, Inc. company guaranty 8 1/8s, 2008 (Canada) 2,125,300 ........................................................................................................................ 130,000 Lucent Technologies, Inc. debs. 6 1/2s, 2028 66,300 ........................................................................................................................ 3,900,000 Lucent Technologies, Inc. debs. 6.45s, 2029 1,989,000 ........................................................................................................................ 3,000,000 Micron Technology, Inc. notes 6 1/2s, 2005 2,700,000 ........................................................................................................................ 1,080,000 ON Semiconductor Corp. 144A company guaranty 12s, 2008 939,600 ........................................................................................................................ 780,000 Polaroid Corp. sr. notes 11 1/2s, 2006 (In default) (NON) 9,750 ........................................................................................................................ 510,000 SCG Holding & Semiconductor Corp. company guaranty 12s, 2009 334,050 ........................................................................................................................ 1,210,000 Seagate Technology Hdd Holdings 144A sr. notes 8s, 2009 1,210,000 ........................................................................................................................ 840,000 Sequa Corp. sr. notes 9s, 2009 840,000 ........................................................................................................................ 1,870,000 Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008 1,860,650 ........................................................................................................................ 1,010,000 Telecommunications Techniques, Inc. company guaranty 9 3/4s, 2008 202,000 ........................................................................................................................ 507,528 Telex Communications Group, Inc. sr. sub. notes zero %, 2006 (In default) (NON) (FWC/WIS) 279,140 ........................................................................................................................ 60,000 Xerox Corp. notes 5 1/2s, 2003 51,600 ........................................................................................................................ 390,000 Xerox Corp. notes Ser. D, 6 1/4s, 2026 335,400 ........................................................................................................................ 1,890,000 Xerox Corp. 144A sr. notes 9 3/4s, 2009 1,568,700 ........................................................................................................................ 70,000 Xerox Credit Corp. sr. notes 6.1s, 2003 60,200 ------------------------------------------------------------------------------------------------------------------------ 15,053,545 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.9%) ........................................................................................................................ 1,110,000 Galey & Lord, Inc. company guaranty 9 1/8s, 2008 (In default) (NON) 188,700 ........................................................................................................................ 1,035,000 GFSI, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (11 3/8s, 9/15/04), 2009 (STP) 50,456 ........................................................................................................................ 1,380,000 Levi Strauss & Co. sr. notes 11 5/8s, 2008 1,311,000 ........................................................................................................................ 840,000 Russell Corp. 144A sr. notes 9 1/4s, 2010 863,100 ........................................................................................................................ 1,150,000 The William Carter Holdings Co. company guaranty Ser. B, 10 7/8s, 2011 1,253,500 ........................................................................................................................ 450,000 Tommy Hilfiger USA, Inc. company guaranty 6 1/2s, 2003 450,000 ........................................................................................................................ 2,250,000 Westpoint Stevens, Inc. sr. notes 7 7/8s, 2005 1,507,500 ------------------------------------------------------------------------------------------------------------------------ 5,624,256 ------------------------------------------------------------------------------------------------------------------------ Tobacco (0.1%) ........................................................................................................................ 600,000 North Atlantic Trading Co. company guaranty Ser. B, 11s, 2004 594,000 ------------------------------------------------------------------------------------------------------------------------ Transportation (2.6%) ........................................................................................................................ 110,000 Air Canada Corp. sr. notes 10 1/4s, 2011 (Canada) 82,500 ........................................................................................................................ 2,420,000 Airbus Industries 144A notes Ser. D, 12.266s, 2020 1,866,981 ........................................................................................................................ 2,300,000 Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 1,932,000 ........................................................................................................................ 630,000 Continental Airlines, Inc. pass-through certificates Ser. D, 7.568s, 2006 541,800 ........................................................................................................................ 770,000 Delta Air Lines, Inc. pass-through certificates Ser. 00-1, Class C, 7.779s, 2005 781,743 ........................................................................................................................ 570,000 Delta Air Lines, Inc. pass-through certificates Ser. C, 7.779s, 2012 581,206 ........................................................................................................................ 1,770,000 Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 1,911,600 ........................................................................................................................ 700,000 Kansas City Southern Railway Co. 144A sr. notes 7 1/2s, 2009 700,000 ........................................................................................................................ 1,335,000 Navistar International Corp. company guaranty Ser. B, 9 3/8s, 2006 1,395,075 ........................................................................................................................ 775,000 Navistar International Corp. sr. notes Ser. B, 8s, 2008 759,500 ........................................................................................................................ 1,000,000 Northwest Airlines, Inc. company guaranty 8 7/8s, 2006 880,000 ........................................................................................................................ 200,000 Northwest Airlines, Inc. company guaranty 8.52s, 2004 180,000 ........................................................................................................................ 1,140,000 Northwest Airlines, Inc. company guaranty 7 5/8s, 2005 1,014,600 ........................................................................................................................ 980,000 Northwest Airlines, Inc. sr. notes 9 7/8s, 2007 872,200 ........................................................................................................................ 1,770,000 RailAmerica Transportation company guaranty 12 7/8s, 2010 1,947,000 ........................................................................................................................ 330,000 Transportation Manufacturing Operations, Inc. company guaranty 11 1/4s, 2009 254,100 ........................................................................................................................ 1,130,000 US Air, Inc. pass-through certificates Ser. 93A3, 10 3/8s, 2013 678,000 ------------------------------------------------------------------------------------------------------------------------ 16,378,305 ------------------------------------------------------------------------------------------------------------------------ Utilities & Power (3.9%) ........................................................................................................................ 450,000 AES Corp. (The) notes 8 3/4s, 2008 283,500 ........................................................................................................................ 2,330,000 AES Corp. (The) sr. notes 9 3/8s, 2010 1,514,500 ........................................................................................................................ 200,000 AES Corp. (The) sr. notes 8 7/8s, 2011 128,000 ........................................................................................................................ 1,360,000 Calpine Canada Energy Finance company guaranty 8 1/2s, 2008 (Canada) 911,200 ........................................................................................................................ 800,000 Calpine Corp. sr. notes 10 1/2s, 2006 640,000 ........................................................................................................................ 350,000 Calpine Corp. sr. notes 8 3/4s, 2007 238,000 ........................................................................................................................ 2,570,000 Calpine Corp. sr. notes 8 5/8s, 2010 1,657,650 ........................................................................................................................ 2,250,000 Calpine Corp. sr. notes 8 1/2s, 2011 1,473,750 ........................................................................................................................ 570,000 Calpine Corp. sr. notes 7 7/8s, 2008 361,950 ........................................................................................................................ 1,300,000 CMS Energy Corp. pass-through certificates 7s, 2005 936,000 ........................................................................................................................ 1,500,000 CMS Energy Corp. sr. notes 8.9s, 2008 1,170,000 ........................................................................................................................ 600,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 426,000 ........................................................................................................................ 700,000 Edison Mission Energy sr. notes 10s, 2008 689,500 ........................................................................................................................ 50,000 Midland Funding II debs. Ser. B, 13 1/4s, 2006 46,500 ........................................................................................................................ 3,015,000 Midland Funding II debs. Ser. A, 11 3/4s, 2005 2,743,650 ........................................................................................................................ 2,360,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 2,430,800 ........................................................................................................................ 720,000 Pacific Gas & Electric Co. 144A sr. notes 7 3/8s, 2005 (In default) (NON) 716,400 ........................................................................................................................ 1,690,000 Southern California Edison Co. notes 8.95s, 2003 1,673,100 ........................................................................................................................ 180,000 Southern California Edison Co. notes 6 3/8s, 2006 169,200 ........................................................................................................................ 1,490,000 Tiverton/Rumford Power Associates, LP 144A pass-through certificates 9s, 2018 1,013,200 ........................................................................................................................ 1,215,000 Western Resources, Inc. 144A 1st mtge. 7 7/8s, 2007 1,228,664 ........................................................................................................................ 1,375,000 Western Resources, Inc. 144A sr. notes 9 3/4s, 2007 1,344,180 ........................................................................................................................ 3,636,000 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 3,345,120 ------------------------------------------------------------------------------------------------------------------------ 25,140,864 ------------------------------------------------------------------------------------------------------------------------ Total Corporate Bonds and Notes (cost $692,746,284) $558,045,658 ------------------------------------------------------------------------------------------------------------------------ PREFERRED STOCKS (3.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 48,421 AmeriKing, Inc. $3.25 cum. pfd. (PIK) $484 ........................................................................................................................ 58,010 Brand Scaffold Services, Inc. 144A $3.625 pfd. 2,900,500 ........................................................................................................................ 111,000 California Federal Bancorp, Inc. Ser. A, $2.281 pfd. 2,898,210 ........................................................................................................................ 44,401 Chevy Chase Capital Corp. Ser. A, $5.188 pfd. (PIK) 2,530,857 ........................................................................................................................ 5,230 Chevy Chase Savings Bank, Inc. $3.25 pfd. 141,210 ........................................................................................................................ 500,000 CSBI Capital Trust I 144A company guaranty Ser. A, 11.75% pfd. 560,000 ........................................................................................................................ 21 CSC Holdings, Inc. Ser. H, $11.75 cum. pfd. 1,365 ........................................................................................................................ 55,990 CSC Holdings, Inc. Ser. M, $11.125 cum. pfd. (PIK) 3,527,370 ........................................................................................................................ 10,527 Decrane Aircraft Holdings Co. $16.00 pfd. (PIK) 1,052,745 ........................................................................................................................ 2,029 Delta Financial Corp. Ser. A, $10.00 cum. pfd. 23,334 ........................................................................................................................ 91,670 Diva Systems Corp. Ser. C, 6.00% cum. pfd. 917 ........................................................................................................................ 42,800 Doane Pet Care Co. $7.125 pfd. 1,498,000 ........................................................................................................................ 169 Dobson Communications Corp. 13.00% pfd. 92,950 ........................................................................................................................ 2,009 Dobson Communications Corp. 12.25% pfd. (PIK) 1,105,187 ........................................................................................................................ 1,010 First Republic Capital Corp. 144A 10.50% pfd. 1,010,000 ........................................................................................................................ 1,002 Granite Broadcasting Corp. 12.75% cum. pfd. (PIK) 681,360 ........................................................................................................................ 198 Leiner Health Products Ser. C, zero % 1 ........................................................................................................................ 746 Nextel Communications, Inc. Ser. E, 11.125% pfd. (PIK) 164,120 ........................................................................................................................ 58,598 North Atlantic Trading Co. zero % pfd. (PIK) 1,084,063 ........................................................................................................................ 523 Paxson Communications Corp. 13.25% cum. pfd. (PIK) 4,292,976 ........................................................................................................................ 7,400 PRIMEDIA, Inc. Ser. F, $9.20 cum. pfd. 296,000 ........................................................................................................................ 2,465 Rural Cellular Corp. 12.25% pfd. (PIK) 419,072 ------------------------------------------------------------------------------------------------------------------------ Total Preferred Stocks (cost $31,296,804) $24,280,721 ------------------------------------------------------------------------------------------------------------------------ FOREIGN GOVERNMENT BONDS AND NOTES (2.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $368,254 Argentina (Republic of) bonds Ser. 2018, 2.89s, 2018 (In default) (NON) $58,921 ........................................................................................................................ 595,000 Brazil (Federal Republic of) notes 14 1/2s, 2009 441,193 ........................................................................................................................ 495,000 Brazil (Federal Republic of) notes 11s, 2012 299,475 ........................................................................................................................ 865,000 Brazil (Federal Republic of) bonds 10 1/8s, 2027 458,450 ........................................................................................................................ 390,000 Brazil (Federal Republic of) unsub. notes 11s, 2040 217,425 ........................................................................................................................ 1,918,000 Bulgaria (Republic of) 144A bonds 8 1/4s, 2015 1,901,697 ........................................................................................................................ 545,000 Colombia (Republic of) bonds 11 3/4s, 2020 530,013 ........................................................................................................................ EUR 150,000 Colombia (Republic of) notes Ser. EMTN, 11 1/2s, 2011 143,222 ........................................................................................................................ EUR 150,000 Colombia (Republic of) unsub. bonds Ser. 15A, 11 3/8s, 2008 142,482 ........................................................................................................................ $215,000 Ecuador (Republic of) bonds Ser. REGS, 12s, 2012 151,575 ........................................................................................................................ 625,000 Ecuador (Republic of) bonds stepped-coupon Ser. REGS, 5s (6s, 8/15/02), 2030 (STP) 312,500 ........................................................................................................................ 110,000 Malaysia (Government of) bonds 7 1/2s, 2011 116,710 ........................................................................................................................ 237,600 Peru (Republic of) bonds Ser. PDI, 4s, 2017 171,072 ........................................................................................................................ 645,000 Russia (Federation of) bonds 12 3/4s, 2028 774,968 ........................................................................................................................ 1,490,000 Russia (Federation of) unsub. 10s, 2007 1,585,360 ........................................................................................................................ 940,000 Russia (Federation of) unsub. 8 1/4s, 2010 928,250 ........................................................................................................................ 5,775,000 Russia (Federation of) unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030 (STP) 3,999,188 ........................................................................................................................ 475,000 South Africa (Republic of) notes 7 3/8s, 2012 470,250 ........................................................................................................................ 460,000 Turkey (Republic of) bonds 11 3/4s, 2010 414,690 ........................................................................................................................ 165,000 Turkey (Republic of) notes 11 1/2s, 2012 143,963 ........................................................................................................................ 155,000 Turkey (Republic of) sr. unsub. 11 7/8s, 2030 131,750 ........................................................................................................................ 1,190,000 United Mexican States bonds 11 3/8s, 2016 1,466,675 ........................................................................................................................ 900,000 United Mexican States bonds Ser. MTN, 8.3s, 2031 874,350 ........................................................................................................................ 255,000 United Mexican States notes 8 1/8s, 2019 247,988 ........................................................................................................................ 1,725,000 United Mexican States notes Ser. A, 9 7/8s, 2010 1,927,688 ........................................................................................................................ 225,000 Venezuela (Republic of) bonds 9 1/4s, 2027 144,000 ------------------------------------------------------------------------------------------------------------------------ Total Foreign Government Bonds and Notes (cost $17,268,359) $18,053,855 ------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS (1.3%) (a) (NON) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 4,226 Alderwoods Group, Inc. $32,033 ........................................................................................................................ 750 AmeriKing, Inc. 8 ........................................................................................................................ 6,048 Arch Wireless, Inc. 6,048 ........................................................................................................................ 97,050 Arch Wireless, Inc.-OLD 10 ........................................................................................................................ 48,616 Aurora Foods, Inc. 72,924 ........................................................................................................................ 7,176 Call-Net Enterprises, Inc. Class B (Canada) 2,260 ........................................................................................................................ 431,848 Celcaribe SA (Colombia) 4,318 ........................................................................................................................ 5,126,274 Contifinancial Corp. Liquidating Trust Units 243,498 ........................................................................................................................ 29,846 Covad Communications Group, Inc. 144A 35,218 ........................................................................................................................ 2,002 Delta Funding Residual Exchange Co., LLC 437,437 ........................................................................................................................ 1,483 Delta Funding Residual Management, Inc. 15 ........................................................................................................................ 45,360 Doskocil Manufacturing Company, Inc. 178,265 ........................................................................................................................ 13,561 Genesis Health Ventures, Inc. 272,440 ........................................................................................................................ 41,310 Intira Corp. 4 ........................................................................................................................ 220,000 Loewen Group International, Inc. 22 ........................................................................................................................ 2,440,000 Paracelsus Healthcare Corp. 244 ........................................................................................................................ 143,399 Pioneer Cos., Inc. 215,099 ........................................................................................................................ 665 Premium Holdings (L.P.) 144A 13,958 ........................................................................................................................ 1,579 PSF Holdings LLC Class A 3,314,913 ........................................................................................................................ 336 Quorum Broadcast Holdings, Inc. Class E (acquired 5/15/01, cost $334,843) (RES) 257,375 ........................................................................................................................ 93 RCN Corp. 127 ........................................................................................................................ 179,280 Regal Entertainment Group 144A (acquired 5/9/02, cost $1,447,720) (RES) 3,135,607 ........................................................................................................................ 1,466 RSL Communications, Ltd. Class A 7 ........................................................................................................................ 15,000 Specialty Foods Acquisition Corp. 150 ........................................................................................................................ 3,215 Sun Healthcare Group, Inc. 51,842 ........................................................................................................................ 4,609 Vast Solutions, Inc. Class B1 13,827 ........................................................................................................................ 4,609 Vast Solutions, Inc. Class B2 13,827 ........................................................................................................................ 4,609 Vast Solutions, Inc. Class B3 13,827 ........................................................................................................................ 84,874 VS Holdings, Inc. 106,093 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $20,973,567) $8,421,396 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE BONDS AND NOTES (1.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $690,000 American Tower Corp. cv. notes 5s, 2010 $313,122 ........................................................................................................................ 940,000 Exide Corp. 144A cv. sr. sub. notes 2.9s, 2005 (In default) (NON) 2,350 ........................................................................................................................ 186,000 Hexcel Corp. cv. sub. notes 7s, 2003 157,170 ........................................................................................................................ 5,140,000 Nextel Communications, Inc. cv. sr. notes 5 1/4s, 2010 2,126,675 ........................................................................................................................ 4,070,000 Total Renal Care Holdings, Inc. 144A cv. 7s, 2009 3,978,425 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Bonds and Notes (cost $8,007,723) $6,577,742 ------------------------------------------------------------------------------------------------------------------------ BRADY BONDS (0.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $1,240,030 Brazil (Federal Republic of) bonds 8s, 2014 $782,831 ........................................................................................................................ 330,000 Brazil (Federal Republic of) government guaranty Ser. 30YR, 3.063s, 2024 194,700 ........................................................................................................................ 255,000 Brazil (Federal Republic of) govt. guaranty FRB 3 1/8s, 2012 135,150 ........................................................................................................................ 250,000 Central Bank of Nigeria bonds Ser. WW, 6 1/4s, 2020 165,325 ........................................................................................................................ 160,000 Peru (Republic of) coll. FLIRB 3 1/4s, 2017 105,808 ........................................................................................................................ 410,000 United Mexican States bonds Ser. B, 6 1/4s, 2019 387,983 ........................................................................................................................ 1,833,300 Venezuela (Republic of) debs. FRB Ser. DL, 2 7/8s, 2007 1,370,392 ------------------------------------------------------------------------------------------------------------------------ Total Brady Bonds (cost $3,485,158) $3,142,189 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE PREFERRED STOCKS (0.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 539 Anker Coal Group, Inc. 14.25% cv. pfd. $2,695 ........................................................................................................................ 105 Genesis Health Ventures, Inc. $6.00 cv. pfd. (PIK) 11,550 ........................................................................................................................ 4,300 Global Crossing, Ltd. 144A 7.00% cum. cv. pfd. (Bermuda) (In default) (NON) 43 ........................................................................................................................ 1,196 Hercules Trust II units 6.50% cum. cv. pfd. 705,640 ........................................................................................................................ 2,590 Interact Systems, Inc. 144A 14.00% cv. pfd. (In default) (NON) 26 ........................................................................................................................ 14,400 LTV Corp. 144A $4.125 cv. pfd. (In default) (NON) 1,800 ........................................................................................................................ 143 Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK) 1,029,600 ........................................................................................................................ 15,352 Penisula Gaming Partners 144A $7.14 cv. pfd. 92,109 ........................................................................................................................ 5,870 PSINet, Inc. 144A $3.50 cv. pfd. 59 ........................................................................................................................ 24,082 Telex Communications, Inc. zero % cv. pfd. (In default) (NON) 24,082 ........................................................................................................................ 154 World Access, Inc. 144A Ser. D, zero % cv. pfd. 2 ........................................................................................................................ 2,736 XCL, Ltd. 144A Ser. A, 9.50% cum. cv. pfd. (In default) (NON) (PIK) 1,368 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Preferred Stocks (cost $5,082,539) $1,868,974 ------------------------------------------------------------------------------------------------------------------------ UNITS (0.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Number Of Units Value ........................................................................................................................ 2,695,000 XCL, Ltd. 144A units 13 1/2s, 2004 (In default) (NON) $811,869 ........................................................................................................................ 13,850 XCL, Ltd. 144A units cv. cum. pfd. zero % (In default) (NON) (PIK) 6,925 ------------------------------------------------------------------------------------------------------------------------ Total Units (cost $3,882,250) $818,794 ------------------------------------------------------------------------------------------------------------------------ WARRANTS (0.1%) (a) (NON) ------------------------------------------------------------------------------------------------------------------------ Number of Warrants Expiration Value Date ........................................................................................................................ 57 Anker Coal Group, Inc. 144A 10/28/09 $1 ........................................................................................................................ 1,600 Birch Telecommunications, Inc. 144A (PIK) 6/15/08 16 ........................................................................................................................ 2,175 Club Regina, Inc. 144A 12/1/04 22 ........................................................................................................................ 1,210 Colo.com, Inc. 144A 3/15/10 12 ........................................................................................................................ 1,950 Dayton Superior Corp. 6/15/09 19,500 ........................................................................................................................ 530 Decrane Aircraft Holdings Co. 9/30/08 1 ........................................................................................................................ 1 Decrane Aircraft Holdings Co. Class B 6/30/00 1 ........................................................................................................................ 32,012 Delta Financial Corp. 12/21/10 3 ........................................................................................................................ 4,700 Destia Communications 144A 7/15/07 47 ........................................................................................................................ 3,651 Diva Systems Corp. 5/15/06 37 ........................................................................................................................ 27,031 Diva Systems Corp. 144A 3/1/08 270 ........................................................................................................................ 23,792 Genesis Health Ventures, Inc. 10/1/02 32,119 ........................................................................................................................ 1,890 Globalstar Telecommunications 2/15/04 19 ........................................................................................................................ 2,090 Horizon PCS, Inc. 10/1/10 2,613 ........................................................................................................................ 24,750 ICG Communications, Inc. 10/15/05 248 ........................................................................................................................ 41,381 Imperial Credit Industries, Inc. 8/1/08 41 ........................................................................................................................ 1,880 Insilco Holding Co. 8/15/08 1,880 ........................................................................................................................ 2,590 Interact Systems, Inc. 8/1/03 3 ........................................................................................................................ 2,590 Interact Systems, Inc. 144A 12/15/09 26 ........................................................................................................................ 248,164 Intira Corp. Class B 9/29/10 25 ........................................................................................................................ 2,030 iPCS, Inc. 144A 7/15/10 508 ........................................................................................................................ 1,500 Iridium World Com 144A 7/15/05 1 ........................................................................................................................ 1,190 IWO Holdings, Inc. 1/15/11 298 ........................................................................................................................ 2,100 Jostens, Inc. 5/1/10 21,000 ........................................................................................................................ 6,794 KMC Telecommunications Holdings, Inc. 144A 4/15/08 68 ........................................................................................................................ 6,100 Knology Holdings, Inc. 10/22/07 61 ........................................................................................................................ 1,089 Leap Wireless International, Inc. 144A 4/15/10 11 ........................................................................................................................ 6,068 Loral Space & Communications, Ltd. 12/27/06 61 ........................................................................................................................ 6,920 McCaw International, Ltd. 4/15/07 69 ........................................................................................................................ 1,850 Mediq, Inc. 144A 6/1/09 19 ........................................................................................................................ 765 Metronet Communications 144A 8/15/07 8 ........................................................................................................................ 720 Mikohn Gaming Corp. 144A 8/15/08 1,440 ........................................................................................................................ 1,990 Orbital Imaging Corp. 144A 3/1/05 1 ........................................................................................................................ 3,895 Orion Network Systems 1/15/07 39 ........................................................................................................................ 7,130 Pagemart, Inc. 144A 12/31/03 71 ........................................................................................................................ 3,200 Paxson Communications Corp. 144A 6/30/03 3,200 ........................................................................................................................ 850 Pliant Corp. 144A 6/1/10 1,700 ........................................................................................................................ 1,790 Startec Global Communications Corp. 5/15/08 18 ........................................................................................................................ 960 Sterling Chemicals Holdings 8/15/08 576 ........................................................................................................................ 8,040 Sun Healthcare Group, Inc. 2/28/05 804 ........................................................................................................................ 1,330 Telehub Communications Corp. 144A 7/31/05 1 ........................................................................................................................ 950 Telex Communications Group, Inc. 3/30/07 10 ........................................................................................................................ 1,140 Travel Centers of America, Inc. 144A 5/1/09 11 ........................................................................................................................ 3,450 Ubiquitel, Inc. 144A 4/15/10 41,400 ........................................................................................................................ 6,950 UIH Australia/Pacific, Inc. 144A 5/15/06 70 ........................................................................................................................ 40,816 United Artists Theatre 3/2/08 404,895 ........................................................................................................................ 19,720 USN Communications Inc. 8/15/04 8 ........................................................................................................................ 2,460 Veraldo Holdings, Inc. 144A 4/15/08 25 ........................................................................................................................ 70 Versatel Telecom NV (Netherlands) 5/15/08 35 ........................................................................................................................ 1,950 WAM!NET, Inc. 3/1/05 20 ........................................................................................................................ 2,050 XM Satellite Radio Holdings, Inc. 144A 3/15/10 2,050 ------------------------------------------------------------------------------------------------------------------------ Total Warrants (cost $6,904,557) $535,362 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (0.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $49,377 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $49,347 ........................................................................................................................ 50,000 U.S. Treasury Note for an effective yield of 1.70%, December 12, 2002 (SEG) 49,589 ........................................................................................................................ 4,664,102 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 4,664,102 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $4,763,038) $4,763,038 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $794,410,279) (b) $626,507,729 ------------------------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Face Expiration Unrealized Market Value Value Date Appreciation .............................................................................. U.S. Treasury Bond (Long) $2,158,401 $2,106,790 Sep-02 $51,611 ------------------------------------------------------------------------------ Swap Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Notional Termination Unrealized Amount Date Appreciation .............................................................................. Agreement with Merrill Lynch Capital Services dated October 27, 2000 to receive semi-annually the notional amount multiplied by 6.74% and pay quarterly the notional amount multiplied by three month USD LIBOR $14,200,000 10/31/05 $1,208,186 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Income Fund The fund's portfolio June 30, 2002 (Unaudited) U.S. GOVERNMENT AND AGENCY OBLIGATIONS (60.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ U.S. Government Agency Mortgage Obligations (42.2%) ........................................................................................................................ Federal Home Loan Mortgage Corporation ........................................................................................................................ $4,055,532 7 1/2s, with due dates from October 1, 2029 to December 1, 2029 $4,260,377 ........................................................................................................................ 36,100,001 6s, with due dates from April 1, 2032 to June 1, 2032 36,071,482 ........................................................................................................................ Federal National Mortgage Association Pass-Through Certificates ........................................................................................................................ 29,144,264 7 1/2s, with due dates from October 1, 2029 to August 1, 2031 30,611,016 ........................................................................................................................ 21,975,000 7 1/4s, January 15, 2010 24,907,124 ........................................................................................................................ 49,973,884 7s, with due dates from May 1, 2029 to May 1, 2032 51,812,423 ........................................................................................................................ 2,280,726 7s, with due dates from February 1, 2007 to December 1, 2014 2,402,593 ........................................................................................................................ 327,173 Dwarf, 7s, with due dates from December 1, 2007 to March 1, 2008 346,548 ........................................................................................................................ 7,963,051 6 1/2s, with due dates from February 1, 2030 to February 1, 2032 8,141,330 ........................................................................................................................ 128,275,000 TBA, 6 1/2s, July 1, 2032 130,760,956 ........................................................................................................................ 427,768 6s, with due dates from July 1, 2029 to June 1, 2032 427,562 ........................................................................................................................ 870,000 TBA, 6s, July 1, 2032 867,825 ........................................................................................................................ Government National Mortgage Association Pass-Through Certificates ........................................................................................................................ 18,484,696 8s, with due dates from January 15, 2022 to December 15, 2027 19,804,783 ........................................................................................................................ 1,849,357 7 1/2s, with due dates from August 15, 2029 to January 15, 2030 1,953,586 ........................................................................................................................ 35,966,924 7s, with due dates from March 15, 2023 to May 15, 2032 37,423,191 ........................................................................................................................ 43,756,432 6 1/2s, with due dates from September 15, 2024 to December 15, 2031 44,773,113 ........................................................................................................................ 51,625,000 TBA, 6 1/2s, July 1, 2032 52,657,500 ------------------------------------------------------------------------------------------------------------------------ 447,221,409 ------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Obligations (18.1%) ........................................................................................................................ U.S. Treasury Bonds ........................................................................................................................ 14,870,000 8s, November 15, 2021 19,019,622 ........................................................................................................................ 215,000 7 1/2s, November 15, 2016 258,740 ........................................................................................................................ 6,520,000 6 1/4s, May 15, 2030 7,062,725 ........................................................................................................................ 4,450,000 6 1/4s, August 15, 2023 4,767,819 ........................................................................................................................ 8,240,000 6 1/8s, August 15, 2029 (SEG) 8,751,292 ........................................................................................................................ 17,355,000 6s, February 15, 2026 18,051,803 ........................................................................................................................ 21,915,000 5 3/8s, February 15, 2031 21,459,387 ........................................................................................................................ U.S. Treasury Notes ........................................................................................................................ 24,980,000 4 7/8s, February 15, 2012 25,073,675 ........................................................................................................................ 31,925,000 4 3/8s, May 15, 2007 32,363,969 ........................................................................................................................ 54,910,000 2 7/8s, June 30, 2004 54,819,948 ------------------------------------------------------------------------------------------------------------------------ 191,628,980 ------------------------------------------------------------------------------------------------------------------------ Total U.S. Government and Agency Obligations (cost $633,747,062) $638,850,389 ------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES (24.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Aerospace and Defense (0.6%) ........................................................................................................................ $410,000 BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008 $377,200 ........................................................................................................................ 3,105,000 Boeing Co. (The) deb. 6 5/8s, 2038 3,058,767 ........................................................................................................................ 2,575,000 Raytheon Co. notes 6.15s, 2008 2,616,973 ------------------------------------------------------------------------------------------------------------------------ 6,052,940 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.8%) ........................................................................................................................ 5,580,000 Continental Airlines, Inc. pass-through certificates Ser. 98-2, 6.32s, 2008 5,570,458 ........................................................................................................................ 2,708,427 Continental Airlines, Inc. pass-through certificates Ser. 981C, 6.541s, 2009 2,549,930 ------------------------------------------------------------------------------------------------------------------------ 8,120,388 ------------------------------------------------------------------------------------------------------------------------ Automotive (2.4%) ........................................................................................................................ 1,300,000 Dana Corp. notes 9s, 2011 1,274,000 ........................................................................................................................ 4,310,000 Ford Motor Co. bonds 6 5/8s, 2028 3,630,141 ........................................................................................................................ 1,920,000 Ford Motor Co. notes 7.45s, 2031 1,784,198 ........................................................................................................................ 50,000 Ford Motor Credit Corp. notes 7.6s, 2005 52,420 ........................................................................................................................ 4,040,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 4,101,044 ........................................................................................................................ 6,120,000 Ford Motor Credit Corp. notes 6 1/2s, 2007 6,136,366 ........................................................................................................................ 2,090,000 General Motors Acceptance Corp. notes 7s, 2012 2,085,229 ........................................................................................................................ 2,040,000 General Motors Acceptance Corp. notes 6 1/8s, 2006 2,075,659 ........................................................................................................................ 2,280,000 General Motors Acceptance Corp. notes Ser. MTN, 5.36s, 2004 2,313,242 ........................................................................................................................ 1,410,000 Visteon Corp. sr. notes 8 1/4s, 2010 1,516,864 ------------------------------------------------------------------------------------------------------------------------ 24,969,163 ------------------------------------------------------------------------------------------------------------------------ Banking (4.3%) ........................................................................................................................ 355,000 Bank of America Corp. sub. notes 7.4s, 2011 388,200 ........................................................................................................................ 6,000,000 Bank United Corp. notes Ser. A, 8s, 2009 6,610,200 ........................................................................................................................ 8,150,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 8,229,789 ........................................................................................................................ 1,325,000 BankBoston NA sub. notes Ser. BKNT, 6 3/8s, 2008 1,376,423 ........................................................................................................................ 6,270,000 Citicorp sub. notes 6 3/8s, 2008 6,567,323 ........................................................................................................................ 3,000,000 Colonial Bank sub. notes 9 3/8s, 2011 3,232,170 ........................................................................................................................ 1,160,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,228,231 ........................................................................................................................ 2,240,000 JPMorgan Chase & Co. notes 5.35s, 2007 2,261,056 ........................................................................................................................ 2,000,000 Merita Bank, Ltd. sub. notes 6 1/2s, 2006 (Finland) 2,110,640 ........................................................................................................................ 1,300,000 National City Corp. sub. notes 7.2s, 2005 1,403,805 ........................................................................................................................ 2,110,000 NB Capital Trust IV company guaranty 8 1/4s, 2027 2,277,808 ........................................................................................................................ 2,105,000 Norwest Corp. med. term sr. notes 6 3/4s, 2027 2,108,705 ........................................................................................................................ 3,040,000 PNC Funding Corp. company guaranty 5 3/4s, 2006 3,135,882 ........................................................................................................................ 2,695,000 Royal Bank of Scotland Group PLC FRN 7 3/8s, 2049 (United Kingdom) 2,867,318 ........................................................................................................................ 1,220,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 1,342,000 ........................................................................................................................ 790,000 Webster Capital Trust I 144A bonds 9.36s, 2027 785,315 ------------------------------------------------------------------------------------------------------------------------ 45,924,865 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.3%) ........................................................................................................................ 1,080,000 British Sky Broadcasting PLC company guaranty 8.2s, 2009 (United Kingdom) 1,064,437 ........................................................................................................................ 2,035,000 News America Holdings, Inc. deb. 7.7s, 2025 1,883,128 ........................................................................................................................ 575,000 News America, Inc. sr. notes 6 5/8s, 2008 575,069 ------------------------------------------------------------------------------------------------------------------------ 3,522,634 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.4%) ........................................................................................................................ 900,000 CSC Holdings, Inc. deb. 7 5/8s, 2018 644,517 ........................................................................................................................ 500,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 396,095 ........................................................................................................................ 1,000,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 745,000 ........................................................................................................................ 2,425,000 TCI Communications, Inc. deb. 7 7/8s, 2013 2,180,560 ........................................................................................................................ 1,000,000 TeleWest Communications PLC deb. 9 5/8s, 2006 (United Kingdom) 400,000 ------------------------------------------------------------------------------------------------------------------------ 4,366,172 ------------------------------------------------------------------------------------------------------------------------ Chemicals (0.5%) ........................................................................................................................ 1,390,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 1,327,450 ........................................................................................................................ 70,000 Hercules, Inc. company guaranty 11 1/8s, 2007 78,400 ........................................................................................................................ 170,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 182,388 ........................................................................................................................ 490,000 IMC Global, Inc. notes 6.55s, 2005 452,427 ........................................................................................................................ 570,000 Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 541,500 ........................................................................................................................ 1,340,000 Lyondell Chemical Co. sec. notes Ser. B, 9 7/8s, 2007 1,279,700 ........................................................................................................................ 970,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 999,100 ........................................................................................................................ 163,937 PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada) 114,756 ........................................................................................................................ 54,646 Pioneer Companies, Inc. sec. FRN 5.355s, 2006 37,706 ------------------------------------------------------------------------------------------------------------------------ 5,013,427 ------------------------------------------------------------------------------------------------------------------------ Computers (0.2%) ........................................................................................................................ 2,410,000 IBM Corp. deb. 7 1/8s, 2096 2,406,409 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (0.4%) ........................................................................................................................ 3,411,000 Allied Corp. notes 6 1/8s, 2005 3,553,409 ........................................................................................................................ 1,415,000 Tyco International, Ltd. notes 6 3/8s, 2011 (Luxembourg) 1,082,475 ------------------------------------------------------------------------------------------------------------------------ 4,635,884 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.4%) ........................................................................................................................ 690,000 Capital One Financial Corp. notes 7 1/4s, 2006 682,226 ........................................................................................................................ 480,000 Conseco Finance Trust III, Inc. bonds 8.796s, 2027 86,400 ........................................................................................................................ 3,665,000 Household Finance Corp. sr. unsub. 5 7/8s, 2009 3,486,588 ------------------------------------------------------------------------------------------------------------------------ 4,255,214 ------------------------------------------------------------------------------------------------------------------------ Containers (0.1%) ........................................................................................................................ 500,000 Ball Corp. company guaranty 8 1/4s, 2008 520,000 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (1.9%) ........................................................................................................................ 3,610,000 Arizona Public Service Co. sr. notes 6 3/4s, 2006 3,826,708 ........................................................................................................................ 870,000 Avista Corp. sr. notes 9 3/4s, 2008 927,446 ........................................................................................................................ 1,530,000 CILCORP, Inc. sr. notes 8.7s, 2009 1,657,679 ........................................................................................................................ 1,060,000 CMS Energy Corp. sr. notes 8.9s, 2008 826,800 ........................................................................................................................ 1,365,000 CMS Energy Corp. sr. notes 7 5/8s, 2004 1,023,750 ........................................................................................................................ 4,765,000 FirstEnergy Corp. notes Ser. A, 5 1/2s, 2006 4,624,718 ........................................................................................................................ 1,200,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 1,236,000 ........................................................................................................................ 1,135,000 Nisource Finance Corp. company guaranty 7 7/8s, 2010 1,169,879 ........................................................................................................................ 1,260,000 Northwestern Corp. 144A notes 8 3/4s, 2012 1,120,347 ........................................................................................................................ 1,440,000 NRG Energy, Inc. sr. notes 6 3/4s, 2006 1,156,493 ........................................................................................................................ 2,860,000 PSI Energy, Inc. 1st mtge. Ser. EEE, 6.65s, 2006 2,930,444 ------------------------------------------------------------------------------------------------------------------------ 20,500,264 ------------------------------------------------------------------------------------------------------------------------ Electronics (0.1%) ........................................................................................................................ 1,040,000 Sequa Corp. sr. notes 9s, 2009 1,040,000 ------------------------------------------------------------------------------------------------------------------------ Energy (0.3%) ........................................................................................................................ 3,090,000 Transocean Sedco Forex, Inc. notes 6 5/8s, 2011 3,176,705 ------------------------------------------------------------------------------------------------------------------------ Financial (2.4%) ........................................................................................................................ 2,225,000 Ace INA Holdings, Inc. company guaranty 8.3s, 2006 2,447,300 ........................................................................................................................ 3,330,000 Associates Corp. sr. notes 6 1/4s, 2008 3,463,267 ........................................................................................................................ 1,750,000 Associates First Capital Corp. deb. 6.95s, 2018 1,793,680 ........................................................................................................................ 2,355,000 CIT Group, Inc. sr. notes 7 3/4s, 2012 2,355,000 ........................................................................................................................ 2,715,000 Conseco Financing Trust II company guaranty 8.7s, 2026 488,700 ........................................................................................................................ 3,275,000 Liberty Mutual Insurance 144A notes 7.697s, 2097 2,592,490 ........................................................................................................................ 2,560,000 Metlife, Inc. sr. notes 5 1/4s, 2006 2,610,288 ........................................................................................................................ 3,870,000 Principal Financial Group AU 144A notes 7.95s, 2004 (Australia) 4,152,084 ........................................................................................................................ 4,315,000 Sun Life Canada Capital Trust 144A company guaranty 8.526s, 2049 4,518,884 ........................................................................................................................ 2,115,000 TIG Capital Trust I 144A bonds 8.597s, 2027 846,000 ........................................................................................................................ 65,000 Vesta Insurance Group, Inc. 144A company guaranty 8.525s, 2027 39,000 ------------------------------------------------------------------------------------------------------------------------ 25,306,693 ------------------------------------------------------------------------------------------------------------------------ Food (0.5%) ........................................................................................................................ 480,000 Aurora Foods, Inc. sr. sub. notes Ser. B, 9 7/8s, 2007 302,400 ........................................................................................................................ 340,000 Doane Pet Care Co. sr. sub. deb. 9 3/4s, 2007 299,200 ........................................................................................................................ 4,575,000 Kraft Foods, Inc. notes 4 5/8s, 2006 4,543,936 ........................................................................................................................ 180,000 Vlasic Foods International, Inc. sr. sub. notes Ser. B, 10 1/4s, 2009 (In default) (NON) 38,700 ------------------------------------------------------------------------------------------------------------------------ 5,184,236 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.4%) ........................................................................................................................ 660,000 Mandalay Resort Group sr. sub. notes Ser. B, 10 1/4s, 2007 704,550 ........................................................................................................................ 250,000 MGM Mirage, Inc. company guaranty 9 3/4s, 2007 267,500 ........................................................................................................................ 470,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 480,575 ........................................................................................................................ 1,050,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 1,086,750 ........................................................................................................................ 260,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 253,500 ........................................................................................................................ 1,240,000 Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007 1,319,050 ------------------------------------------------------------------------------------------------------------------------ 4,111,925 ------------------------------------------------------------------------------------------------------------------------ Health Care (--%) ........................................................................................................................ 640,000 Multicare Companies, Inc. sr. sub. notes 9s, 2007 (In default) (NON) 64 ------------------------------------------------------------------------------------------------------------------------ Homebuilding (0.2%) ........................................................................................................................ 1,305,000 D.R. Horton, Inc. company guaranty 8s, 2009 1,295,213 ........................................................................................................................ 380,000 Toll Corp. sr. sub. notes 8 1/4s, 2011 380,000 ------------------------------------------------------------------------------------------------------------------------ 1,675,213 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.4%) ........................................................................................................................ 1,585,000 Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011 1,642,615 ........................................................................................................................ 2,660,000 Salomon, Inc. sr. notes 6 3/4s, 2003 2,732,911 ------------------------------------------------------------------------------------------------------------------------ 4,375,526 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.3%) ........................................................................................................................ 830,000 Felcor Lodging LP company guaranty 8 1/2s, 2008 (R) 809,250 ........................................................................................................................ 1,105,000 Hilton Hotels Corp. notes 8 1/4s, 2011 1,143,174 ........................................................................................................................ 1,655,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 1,580,525 ------------------------------------------------------------------------------------------------------------------------ 3,532,949 ------------------------------------------------------------------------------------------------------------------------ Machinery (--%) ........................................................................................................................ 180,000 Case Corp. notes 7 1/4s, 2016 140,400 ------------------------------------------------------------------------------------------------------------------------ Media (0.2%) ........................................................................................................................ 2,515,000 AOL Time Warner, Inc. bonds 7 5/8s, 2031 2,201,933 ------------------------------------------------------------------------------------------------------------------------ Medical Services (--%) ........................................................................................................................ 260,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/4s, 2008 (In default) (NON) 26 ------------------------------------------------------------------------------------------------------------------------ Metals (0.1%) ........................................................................................................................ 540,000 AK Steel Corp. company guaranty 7 7/8s, 2009 540,000 ........................................................................................................................ 180,000 WHX Corp. sr. notes 10 1/2s, 2005 136,800 ------------------------------------------------------------------------------------------------------------------------ 676,800 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (0.1%) ........................................................................................................................ 720,000 Transcontinental Gas Pipeline Corp. notes Ser. B, 7s, 2011 581,926 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (2.1%) ........................................................................................................................ 1,960,000 Conoco Funding Co. company guaranty 6.35s, 2011 2,034,343 ........................................................................................................................ 2,980,000 Conoco Funding Co. company guaranty 5.45s, 2006 3,054,083 ........................................................................................................................ 1,700,000 El Paso Energy Partners L.P. company guaranty Ser. B, 8 1/2s, 2011 1,683,000 ........................................................................................................................ 5,755,000 Kerr-McGee Corp. company guaranty 6 7/8s, 2011 6,050,749 ........................................................................................................................ 330,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 330,000 ........................................................................................................................ 4,310,000 Occidental Petroleum, Corp. 144A Structured Notes (issued by STEERS Credit Linked Trust) 6.019%, 2004 4,439,300 ........................................................................................................................ 2,790,000 Phillips Petroleum Co. notes 8 3/4s, 2010 3,300,514 ........................................................................................................................ 645,000 Union Oil Company of California company guaranty 7 1/2s, 2029 678,572 ........................................................................................................................ 1,080,000 Union Pacific Resources Group, Inc. notes 7.3s, 2009 1,158,710 ------------------------------------------------------------------------------------------------------------------------ 22,729,271 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (0.4%) ........................................................................................................................ 660,000 Boise Cascade Corp. notes 7 1/2s, 2008 678,330 ........................................................................................................................ 340,000 Norampac, Inc. sr. notes 9 1/2s, 2008 (Canada) 360,400 ........................................................................................................................ 1,730,000 Weyerhaeuser Co. 144A bonds 7 3/8s, 2032 1,751,504 ........................................................................................................................ 1,445,000 Weyerhaeuser Co. 144A notes 6 3/4s, 2012 1,485,648 ------------------------------------------------------------------------------------------------------------------------ 4,275,882 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (0.5%) ........................................................................................................................ 5,185,000 Bristol-Myers Squibb Co. notes 4 3/4s, 2006 5,198,688 ------------------------------------------------------------------------------------------------------------------------ Power Producers (0.2%) ........................................................................................................................ 2,530,000 AES Corp. (The) sr. notes 9 3/8s, 2010 1,644,500 ........................................................................................................................ 550,000 AES Corp. (The) sr. notes 8 7/8s, 2011 352,000 ........................................................................................................................ 442,000 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 406,640 ------------------------------------------------------------------------------------------------------------------------ 2,403,140 ------------------------------------------------------------------------------------------------------------------------ Publishing (--%) ........................................................................................................................ 410,000 PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 303,400 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.3%) ........................................................................................................................ 2,785,000 Burlington Northern Santa Fe Corp. notes 7 1/8s, 2010 3,002,815 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.5%) ........................................................................................................................ 2,075,000 EOP Operating LP sr. notes 7s, 2011 2,159,057 ........................................................................................................................ 3,030,000 Simon Property Group LP 144A notes 6 3/8s, 2007 3,116,264 ------------------------------------------------------------------------------------------------------------------------ 5,275,321 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (0.7%) ........................................................................................................................ 790,000 Qwest Capital Funding, Inc. company guaranty 7 3/4s, 2006 481,900 ........................................................................................................................ 1,930,000 Qwest Capital Funding, Inc. company guaranty 7 1/4s, 2011 1,061,500 ........................................................................................................................ 860,000 Qwest Corp. 144A notes 8 7/8s, 2012 765,400 ........................................................................................................................ 1,980,000 US West Capital Funding, Inc. company guaranty 6 1/4s, 2005 1,306,800 ........................................................................................................................ 3,960,000 Verizon Global Funding Corp. notes 7 1/4s, 2010 3,946,378 ------------------------------------------------------------------------------------------------------------------------ 7,561,978 ------------------------------------------------------------------------------------------------------------------------ Restaurants (0.1%) ........................................................................................................................ 350,000 Tricon Global Restaurants, Inc. sr. notes 8 7/8s, 2011 371,000 ........................................................................................................................ 430,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 436,450 ------------------------------------------------------------------------------------------------------------------------ 807,450 ------------------------------------------------------------------------------------------------------------------------ Retail (0.3%) ........................................................................................................................ 280,000 Dillards, Inc. notes 6.43s, 2004 274,280 ........................................................................................................................ 1,380,000 JC Penney Company, Inc. notes 7.6s, 2007 1,352,400 ........................................................................................................................ 1,500,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 1,395,000 ------------------------------------------------------------------------------------------------------------------------ 3,021,680 ------------------------------------------------------------------------------------------------------------------------ Technology (--%) ........................................................................................................................ 210,000 Flextronics International, Ltd. sr. sub. notes 9 7/8s, 2010 (Singapore) 218,400 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (1.2%) ........................................................................................................................ 2,418,019 Calpoint Receivable Structured Trust 2001 144A bonds 7.44s, 2006 1,934,415 ........................................................................................................................ 2,235,000 Cingular Wireless 144A notes 5 5/8s, 2006 2,138,493 ........................................................................................................................ 1,535,000 France Telecom FRN 7 3/4s, 2011 (France) 1,358,291 ........................................................................................................................ 570,000 Nextel Communications, Inc. sr. notes 12s, 2008 313,500 ........................................................................................................................ 1,000,000 PanAmSat Corp. 144A sr. notes 8 1/2s, 2012 927,730 ........................................................................................................................ 1,440,000 Sprint Capital Corp. company guaranty 8 3/4s, 2032 1,094,400 ........................................................................................................................ 1,345,000 Sprint Capital Corp. company guaranty 7 1/8s, 2006 1,182,390 ........................................................................................................................ 120,000 Telehub Communications Corp. company guaranty stepped-coupon zero % (13 7/8s, 7/31/02), 2005 (In default) (NON) (STP) 1 ........................................................................................................................ 4,210,000 Verizon Wireless, Inc. 144A notes 5 3/8s, 2006 3,927,172 ........................................................................................................................ 286,000 Voicestream Wireless Corp. sr. notes 10 3/8s, 2009 271,514 ------------------------------------------------------------------------------------------------------------------------ 13,147,906 ------------------------------------------------------------------------------------------------------------------------ Telephone (0.1%) ........................................................................................................................ 140,000 Birch Telecommunications, Inc. sr. notes 14s, 2008 (In default) (NON) 1,400 ........................................................................................................................ 4,390,000 WorldCom, Inc.-WorldCom Group notes 7 1/2s, 2011 (In default) (NON) 702,400 ------------------------------------------------------------------------------------------------------------------------ 703,800 ------------------------------------------------------------------------------------------------------------------------ Textiles (--%) ........................................................................................................................ 280,000 Levi Strauss & Co. sr. notes 11 5/8s, 2008 266,000 ------------------------------------------------------------------------------------------------------------------------ Tobacco (0.4%) ........................................................................................................................ 1,990,000 Philip Morris Companies, Inc. notes 7.2s, 2007 2,156,782 ........................................................................................................................ 1,750,000 Philip Morris Companies, Inc. notes 7 1/8s, 2004 1,865,465 ------------------------------------------------------------------------------------------------------------------------ 4,022,247 ------------------------------------------------------------------------------------------------------------------------ Toys (--%) ........................................................................................................................ 290,000 Hasbro, Inc. notes 6.15s, 2008 266,800 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.3%) ........................................................................................................................ 1,305,000 Browning-Ferris Industries, Inc. deb. 7.4s, 2035 965,700 ........................................................................................................................ 2,590,000 Waste Management, Inc. sr. notes 6 1/2s, 2008 2,601,972 ------------------------------------------------------------------------------------------------------------------------ 3,567,672 ------------------------------------------------------------------------------------------------------------------------ Total Corporate Bonds and Notes (cost $271,209,316) $259,064,206 ------------------------------------------------------------------------------------------------------------------------ COLLATERALIZED MORTGAGE OBLIGATIONS (12.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Amortizing Residential Collateral Trust ........................................................................................................................ $20,515,000 Ser. 02-BC3, Class A, Interest Only (IO), 6s, 2005 $1,790,254 ........................................................................................................................ 11,480,000 Ser. 02-BC1, Class A, IO, 6s, 2005 841,717 ........................................................................................................................ 21,576,066 Ser. 01-BC6, Class A, IO, 6s, 2004 1,490,940 ........................................................................................................................ 1,045,000 Ser. 02-BC1, Class M2, FRN, 2.94s, 2032 1,032,353 ........................................................................................................................ Arc Net Interest Margin Trust ........................................................................................................................ 855,079 Ser. 02-2, Class A, 7 3/4s, 2032 852,047 ........................................................................................................................ 577,296 Ser. 01-5A, Class A, FRN, 2.47s, 2008 575,853 ........................................................................................................................ 204,824 Arc Net Interest Margin Trust 144A Ser. 01-6A, Class A, 7 1/4s, 2031 203,796 ........................................................................................................................ 1,012,953 Chase Commercial Mortgage Securities Corp. Ser. 98-1, Class A1, 6.34s, 2006 1,056,162 ........................................................................................................................ 41,193,983 Commercial Mortgage Asset Trust Ser. 99-C1, Class X, IO, 1.161s, 2020 2,375,091 ........................................................................................................................ Countrywide Home Loan ........................................................................................................................ 2,575,000 Ser. 98-A12, Class A14, 8s, 2028 2,761,688 ........................................................................................................................ 1,490,000 Ser. 98-3, Class A5, 6 3/4s, 2028 1,539,349 ........................................................................................................................ 2,060,000 Countrywide Mortgage Backed Securities, Inc. Ser. 93-C, Class A8, 6 1/2s, 2024 2,108,266 ........................................................................................................................ 1,520,000 Criimi Mae Commercial Mortgage Trust Ser. 98-C1, Class A2, 7s, 2011 1,561,325 ........................................................................................................................ CS First Boston Mortgage Securities Corp. ........................................................................................................................ 1,286,219 Ser. 01-CK3, Class A1, 5.26s, 2006 1,324,372 ........................................................................................................................ 374,166 Ser. 01-CKN5, Class A1, 3.801s, 2006 375,223 ........................................................................................................................ 5,875,943 DLJ Commercial Mortgage Corp. Ser. 00-CKP1, Class A1A, 6.93s, 2009 6,277,593 ........................................................................................................................ Fannie Mae ........................................................................................................................ 6,493,611 Ser. 02-36, Class SJ, 15 1/2s, 2031 6,939,398 ........................................................................................................................ 1,768 Ser. 92-15, Class L, IO, 10.376s, 2022 44,229 ........................................................................................................................ 7,265,000 Ser. 02-W4, Class A5, 7 1/2s, 2042 7,746,306 ........................................................................................................................ 3,683,276 Ser. 01-T10, Class A2, 7 1/2s, 2041 3,927,293 ........................................................................................................................ 2,613,189 Ser. 01-T12, Class A2, 7 1/2s, 2031 2,786,313 ........................................................................................................................ 5,806,138 Ser. 01-T8, Class A1, 7 1/2s, 2031 6,190,795 ........................................................................................................................ 4,241,873 Ser. 01-T7, Class A1, 7 1/2s, 2031 4,522,897 ........................................................................................................................ 3,100,192 Ser. 00-T6, Class A1, 7 1/2s, 2030 3,305,580 ........................................................................................................................ 8,253,426 Ser. 01-T4, Class A1, 7 1/2s, 2028 8,800,215 ........................................................................................................................ 9,559,793 Ser. 319, Class 2, IO, 6 1/2s, 2032 2,322,731 ........................................................................................................................ 14,069,455 Ser. 02-36, Class QH, IO, 6.21s, 2031 1,097,972 ........................................................................................................................ Fannie Mae ........................................................................................................................ 2,253,437 Ser. 02-27, Class SQ, IO, 6.16s, 2032 196,472 ........................................................................................................................ 3,554,621 Ser. 01-67, Class IA, IO, 6s, 2019 339,438 ........................................................................................................................ 56,315,760 Ser. 01-T12, IO, 0.571s, 2041 1,038,322 ........................................................................................................................ 41,653,908 Ser. 02-T1, IO, 0.426s, 2031 575,996 ........................................................................................................................ 308,837 Ser. 01-T7, Principal Only (PO), zero %, 2031 206,149 ........................................................................................................................ 253,118 Ser. 00-T6, PO, zero %, 2030 168,956 ........................................................................................................................ 177,324 Ser. 01-T3, PO, zero %, 2029 118,364 ........................................................................................................................ 907,473 Ser. 01-T4, PO, zero %, 2028 605,738 ........................................................................................................................ 62,498 Ser. 01-T1, PO, zero %, 2028 41,717 ........................................................................................................................ 7,660,000 FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027 8,535,714 ........................................................................................................................ 300,000 First Union National Bank Commercial Mortgage 144A Ser. 01-C4, Class F, 6.79s, 2033 317,637 ........................................................................................................................ Freddie Mac ........................................................................................................................ 7,583,581 Ser. 2422, Class IB, IO, 6 1/2s, 2028 1,144,647 ........................................................................................................................ 980,300 Ser. 2355, Class WI, IO, 6 1/2s, 2026 186,933 ........................................................................................................................ 1,523,900 Ser. 2403, Class KI, IO, 6 1/2s, 2022 190,914 ........................................................................................................................ 10,180,123 Ser. 2406, Class PI, IO, 6 1/2s, 2021 1,107,088 ........................................................................................................................ 1,877,300 Ser. 2382, Class IM, IO, 6s, 2021 231,078 ........................................................................................................................ 4,698,281 Ser. 2366, Class IA, IO, 6s, 2019 416,206 ........................................................................................................................ 448,572 G-Force Ser. 01-1, Class A, FRB, 2.439s, 2033 457,544 ........................................................................................................................ 2,400,000 GE Capital Mortgage Services, Inc. Ser. 98-11, Class 2A4, 6 3/4s, 2028 2,473,488 ........................................................................................................................ General Growth Properties-Mall Properties Trust ........................................................................................................................ 460,510 144A Ser. 01-C1A, Class D2, 5.89s, 2011 463,967 ........................................................................................................................ 5,214,156 Ser. 01-C1A, Class D3, FRB, 4.09s, 2014 5,214,156 ........................................................................................................................ 3,711,000 GMAC Commercial Mortgage Securities, Inc. Ser. 97-C2, Class A2, 6.55s, 2007 3,888,432 ........................................................................................................................ 3,103,815 Government National Mortgage Association Ser. 98-2, Class EA, PO, zero %, 2028 2,622,723 ........................................................................................................................ 2,820,000 GS Mortgage Securities Corp. II Ser. 01-LIB, Class A2, 6.615s, 2016 2,865,611 ........................................................................................................................ 123,000 Host Marriott Pool Trust Ser. 99-HMTA, Class C, 7.73s, 2009 134,320 ........................................................................................................................ 1,385,000 LB Commercial Conduit Mortgage Trust Ser. 99-C2, Class B, 7.425s, 2009 1,528,798 ........................................................................................................................ LB-UBS Commercial Mortgage Trust ........................................................................................................................ 3,135,000 Ser. 01-C3, Class A2, 6.365s, 2011 3,288,321 ........................................................................................................................ 20,549,120 144A Ser. 01-C7, Class XCL, IO, 0.829s, 2033 826,486 ........................................................................................................................ Merrill Lynch Mortgage Investors, Inc. ........................................................................................................................ 1,395,000 Ser. 96-C2, Class E, 6.96s, 2028 1,379,197 ........................................................................................................................ 555,601 Ser. 98-C2, Class A1, 6.22s, 2030 577,992 ........................................................................................................................ 10,000,000 Morgan Stanley Capital I Ser. WF2, Class B, 6.63s, 2008 10,687,500 ........................................................................................................................ Morgan Stanley Dean Witter Capital I ........................................................................................................................ 685,000 Ser. 00, Class B, 7.638s, 2010 769,020 ........................................................................................................................ 391,685 Ser. 01-IQA, Class A1, 4.57s, 2006 396,423 ........................................................................................................................ Morgan Stanley Dean Witter Capital I 144A ........................................................................................................................ 618,078 Ser. 01-XLF, Class D, FRB, 3.359s, 2013 617,209 ........................................................................................................................ 411,007 Ser. 01-XLF, Class E, FRB, 3.309s, 2013 406,705 ........................................................................................................................ 692,000 Starwood Asset Receivables Trust Ser. 02-1A, Class F, FRN, 3.174s, 2020 691,135 ........................................................................................................................ 4,054,975 TIAA Retail Commercial Mortgage Trust Ser. 99-1, Class A, 7.17s, 2032 4,339,228 ------------------------------------------------------------------------------------------------------------------------ Total Collateralized Mortgage Obligations (cost $130,115,915) $132,899,382 ------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES (9.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $303,884 ABSC Nims Trust Ser. 01-HE3, Class A, 7s, 2031 $297,997 ........................................................................................................................ 1,327,000 Advanta Mortgage Loan Trust Ser. 00-1, Class A4, 8.61s, 2028 1,432,762 ........................................................................................................................ 1,637,000 Amortizing Residential Collateral Trust Ser. 02-BC3, Class NIM, 7s, 2032 1,618,928 ........................................................................................................................ 1,240,052 AQ Finance NIM Trust notes 144A Ser. 02-1, 9 1/2s, 2032 1,239,321 ........................................................................................................................ 1,068,861 Arc Net Interest Margin Trust 144A Ser. 02-1A, Class A, 7 3/4s, 2032 1,066,957 ........................................................................................................................ 873,692 Asset Backed Funding Corp. NIM Trust Ser. 02-WF1, 9.32s, 2032 865,091 ........................................................................................................................ Asset Backed Securities Corp. Home Equity Loan Trust ........................................................................................................................ 17,114,000 Ser. 02-HE1, Class AI, IO, 6 1/2s, 2032 1,517,824 ........................................................................................................................ 2,132,000 Ser. 02-HE2, Class M2, FRN, 2.969s, 2032 2,131,998 ........................................................................................................................ 2,847,000 Bank One Issuance Trust Ser. 02-C1, Class C1, FRN, 2.801s, 2007 2,847,000 ........................................................................................................................ Bayview Financial Acquisition Trust ........................................................................................................................ 1,550,000 Ser. 02-CA, Class A, IO, 14s, 2004 246,789 ........................................................................................................................ 1,732,569 Ser. 01-DA, Class M3, FRN, 3.24s, 2031 1,732,569 ........................................................................................................................ 129,503,858 Bayview Financial Acquisition Trust 144A Ser. 02-XA, Class A1, IO, 1.325s, 2005 1,578,328 ........................................................................................................................ Chase Funding Net Interest Margin ........................................................................................................................ 890,000 Ser. 02-1, Class Note, 8 1/2s, 2035 882,524 ........................................................................................................................ 735,000 Ser. 02-C1, Class Note, 8 1/2s, 2035 748,818 ........................................................................................................................ Conseco Finance Securitizations Corp. ........................................................................................................................ 1,750,000 Ser. 02-1, Class M2, 9.546s, 2033 1,774,920 ........................................................................................................................ 1,590,000 Ser. 01-4, Class B1, 9.4s, 2010 1,497,735 ........................................................................................................................ 4,585,000 Ser. 02-2, Class A, IO, 8 1/2s, 2033 1,618,362 ........................................................................................................................ 6,280,000 Ser. 00-4, Class A6, 8.31s, 2032 6,812,274 ........................................................................................................................ 3,455,000 Ser. 01-04, Class A4, 7.36s, 2019 3,574,619 ........................................................................................................................ 1,850,000 Ser. 01-3, Class A4, 6.91s, 2031 1,862,711 ........................................................................................................................ 5,939,863 Ser. 02-1, Class A, 6.681s, 2033 6,098,576 ........................................................................................................................ 18,747,979 Conseco Recreational Enthusiast Consumer Trust Ser. 01-A, Class AP, IO, 5s, 2025 1,411,498 ........................................................................................................................ 1,226,000 Consumer Credit Reference IDX Securities Ser. 02-1A, Class A, FRB, 3.87s, 2007 1,228,682 ........................................................................................................................ 2,052,555 First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s, 2023 2,100,010 ........................................................................................................................ 15,900,000 First USA Credit Card Master Trust Ser. 98-5, Class A, 1.939s, 2006 15,904,929 ........................................................................................................................ 6,610,000 Green Tree Financial Corp. Ser. 99-5, Class A5, 7.86s, 2029 6,925,046 ........................................................................................................................ 2,380,000 Home Equity Asset Trust Ser. 02-1, Class M2, 3.24s, 2032 2,368,471 ........................................................................................................................ 2,075,000 LNR CDO, Ltd. Ser. 02-1A, Class FFL, 5.09s, 2037 1,950,510 ........................................................................................................................ Madison Avenue Manufactured Housing Contract ........................................................................................................................ 1,626,445 Ser. 02-A, Class B1, FRN, 5.159s, 2032 1,219,834 ........................................................................................................................ 117,487,701 Ser. 02-A, IO, 0.3s, 2032 1,340,094 ........................................................................................................................ 978,948 Mid-State Trust Ser. 10, Class B, 7.54s, 2026 973,136 ........................................................................................................................ Morgan Stanley Dean Witter Capital I ........................................................................................................................ 2,565,000 Ser. 01-NC4, Class B1, FRN, 4.34s, 2032 2,570,611 ........................................................................................................................ 620,000 Ser. 01-NC3, Class B1, FRN, 4.29s, 2031 621,356 ........................................................................................................................ 790,000 Ser. 02-AM2, Class B1, FRN, 4.09s, 2032 784,692 ........................................................................................................................ 2,265,000 Ser. 02-HE1, Class B1, 3.64s, 2013 2,226,495 ........................................................................................................................ 408,000 Ser. 01-AM1, Class M2, FRN, 3.24s, 2032 408,000 ........................................................................................................................ 1,557,112 Morgan Stanley Dean Witter Capital I 144A Ser. 01-NC4N, 8 1/2s, 2032 1,564,431 ........................................................................................................................ 977,901 NC Finance Trust Ser. 02-1, 9 1/4s, 2032 971,258 ........................................................................................................................ 1,779,560 Option One Mortgage Securities Corp. Ser. 02-2A, 8.83s, 2032 1,808,478 ........................................................................................................................ 1,536,355 Option One Mortgage Securities Corp. 144A Ser. 02-1, 6 3/4s, 2032 1,527,408 ........................................................................................................................ Pass-Through Amortizing Credit Card Trust ........................................................................................................................ 1,890,000 Ser. 02-1A, Class A4FL, 7.339s, 2012 1,890,000 ........................................................................................................................ 1,205,000 Ser. 02-1A, Class A3FL, 4.839s, 2012 1,205,000 ........................................................................................................................ 2,538,863 Xerox Equipment Lease Owner Trust 144A Ser. 01-1, Class A, FRB, 3.84s, 2008 2,537,673 ------------------------------------------------------------------------------------------------------------------------ Total Asset-Backed Securities (cost $94,996,097) $94,983,715 ------------------------------------------------------------------------------------------------------------------------ PREFERRED STOCKS (0.5%) (a) (cost $4,298,693) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 4,535,000 First Union Capital II Ser. A, 7.95% pfd. $4,889,909 ------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS (--%) (a) (NON) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 8,501 Aurora Foods, Inc. $12,752 ........................................................................................................................ 698,140 Contifinancial Corp. Liquidating Trust Units 33,162 ........................................................................................................................ 1,658 Genesis Health Ventures, Inc. 33,309 ........................................................................................................................ 10,601 Pioneer Cos., Inc. 15,902 ........................................................................................................................ 53,517 Safety Components International, Inc. 347,861 ........................................................................................................................ 166 Sun Healthcare Group, Inc. 2,677 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $1,938,579) $445,663 ------------------------------------------------------------------------------------------------------------------------ WARRANTS (--%) (a) (NON) ------------------------------------------------------------------------------------------------------------------------ Number of Warrants Expiration Date Value ........................................................................................................................ 140 Birch Telecommunications, Inc. 144A (PIK) 6/15/08 $1 ........................................................................................................................ 2,783 Genesis Health Ventures, Inc. 10/1/02 3,757 ........................................................................................................................ 416 Sun Healthcare Group, Inc. 2/28/05 42 ........................................................................................................................ 120 Telehub Communications Corp. 144A 7/31/05 1 ------------------------------------------------------------------------------------------------------------------------ Total Warrants (cost $6,700) $3,801 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (16.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $177,942,989 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) $177,942,989 ........................................................................................................................ 2,535 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.83% and due dates ranging from July 1, 2002 to August 26, 2002 (d) 2,533 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $177,945,522) $177,945,522 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $1,314,257,884) (b) $1,309,082,587 ------------------------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2002 ------------------------------------------------------------------------------ Aggregate Unrealized Face Expiration Appreciation/ Total Value Value Date (Depreciation) .............................................................................. Euro 90 day (Long) $43,630,025 $43,572,933 Sep-02 $57,092 .............................................................................. U.S. Treasury Bond (Short) 8,119,719 7,926,820 Sep-02 (192,899) .............................................................................. U.S. Treasury Note 5 yr (Long) 51,562,500 50,587,228 Sep-02 975,272 .............................................................................. U.S. Treasury Note 10 yr (Short) 10,830,672 10,567,515 Sep-02 (263,157) ------------------------------------------------------------------------------ $576,308 ------------------------------------------------------------------------------ TBA Sales Commitments at June 30, 2002 (Unaudited) (proceeds receivable $81,869,842) ------------------------------------------------------------------------------ Principal Settlement Agency Amount Date Market Value .............................................................................. FHLMC 6s, July 2032 $25,547,000 7/15/02 $25,491,052 .............................................................................. FNMA 6 1/2s, July 2032 54,318,000 7/15/02 55,370,682 .............................................................................. FNMA 6s, July 2032 953,000 7/15/02 950,618 ------------------------------------------------------------------------------ $81,812,352 ------------------------------------------------------------------------------ Written Options Outstanding at June 30, 2002 (Unaudited) (premium received $149,577) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amount Strike Price Value .............................................................................. 2,735,000 Texas Utilities 6.375 6/15/06 (Put) Jun 05/ 100 USD $153,160 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT International Growth Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (97.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Australia (2.2%) ........................................................................................................................ 830,123 BHP Billiton, Ltd. $4,799,265 ........................................................................................................................ 379,400 Brambles Industries, Ltd. 2,010,316 ........................................................................................................................ 362,295 News Corp., Ltd. (The) ADR 8,307,424 ........................................................................................................................ 138,455 Rio Tinto, Ltd. 2,605,000 ------------------------------------------------------------------------------------------------------------------------ 17,722,005 ------------------------------------------------------------------------------------------------------------------------ Belgium (0.2%) ........................................................................................................................ 112,834 Dexia 1,739,146 ------------------------------------------------------------------------------------------------------------------------ Brazil (1.8%) ........................................................................................................................ 68,600 Banco Bradesco SA ADR 1,354,850 ........................................................................................................................ 49,400 Banco Itau SA ADR 1,383,200 ........................................................................................................................ 148,888 Companhia de Bebidas das Americas (AmBev) ADR 2,313,720 ........................................................................................................................ 57,000 Companhia Vale do Rio Doce (CVRD) ADR (NON) 1,577,190 ........................................................................................................................ 59,800 Companhia Vale do Rio Doce (CVRD) ADR Class A (NON) 1,551,810 ........................................................................................................................ 274,285 Petroleo Brasileiro SA ADR 5,173,015 ........................................................................................................................ 77,036 Unibanco-Uniao de Bancos Brasileiros SA GDR 1,271,094 ------------------------------------------------------------------------------------------------------------------------ 14,624,879 ------------------------------------------------------------------------------------------------------------------------ Canada (2.2%) ........................................................................................................................ 280,700 Abitibi-Consolidated, Inc. 2,587,726 ........................................................................................................................ 70,500 Canadian National Railway Co. 3,710,429 ........................................................................................................................ 276,543 Sun Life Financial Services of Canada, Inc. 5,986,189 ........................................................................................................................ 184,924 Suncor Energy, Inc. 3,234,468 ........................................................................................................................ 93,728 Toronto-Dominion Bank 2,213,775 ------------------------------------------------------------------------------------------------------------------------ 17,732,587 ------------------------------------------------------------------------------------------------------------------------ Denmark (1.2%) ........................................................................................................................ 424,371 Danske Bank A/S 7,815,668 ........................................................................................................................ 72,650 TDC A/S 2,009,415 ------------------------------------------------------------------------------------------------------------------------ 9,825,083 ------------------------------------------------------------------------------------------------------------------------ Finland (1.0%) ........................................................................................................................ 115,200 Nokia OYJ 1,685,752 ........................................................................................................................ 306,533 Stora Enso OYJ 4,294,897 ........................................................................................................................ 61,798 TietoEnator OYJ 1,525,484 ........................................................................................................................ 30,970 TietoEnator OYJ 144A 764,494 ------------------------------------------------------------------------------------------------------------------------ 8,270,627 ------------------------------------------------------------------------------------------------------------------------ France (13.4%) ........................................................................................................................ 90,705 Accor SA 3,678,316 ........................................................................................................................ 177,994 BNP Paribas SA 9,842,071 ........................................................................................................................ 229,603 Bouygues SA 6,413,626 ........................................................................................................................ 20,461 Groupe Danone 2,812,284 ........................................................................................................................ 306,598 Havas Advertising SA 1,886,038 ........................................................................................................................ 77,062 Lafarge 7,685,193 ........................................................................................................................ 42,800 Peugeot SA 2,220,801 ........................................................................................................................ 309,548 Sanofi-Synthelabo SA 18,827,898 ........................................................................................................................ 124,499 Societe Generale 8,199,452 ........................................................................................................................ 122,987 Societe Television Francaise I 3,292,167 ........................................................................................................................ 239,835 TotalFinaElf SA Class B 38,932,070 ........................................................................................................................ 89,160 Vivendi Environnement 2,751,143 ------------------------------------------------------------------------------------------------------------------------ 106,541,059 ------------------------------------------------------------------------------------------------------------------------ Germany (6.6%) ........................................................................................................................ 34,513 Allianz AG 6,911,046 ........................................................................................................................ 235,400 BASF AG 10,912,774 ........................................................................................................................ 219,000 Bayerische Motoren Werke (BMW) AG 9,028,045 ........................................................................................................................ 35,244 Bayerische Vereinsbank AG 1,148,398 ........................................................................................................................ 261,339 Deutsche Post AG 3,315,893 ........................................................................................................................ 41,891 Deutsche Post AG 144A 531,517 ........................................................................................................................ 132,778 Metro AG 4,064,255 ........................................................................................................................ 71,401 Muenchener Rueckversicherungs-Gesellschaft AG 16,885,073 ------------------------------------------------------------------------------------------------------------------------ 52,797,001 ------------------------------------------------------------------------------------------------------------------------ Hong Kong (1.6%) ........................................................................................................................ 930,000 Cheung Kong Holdings, Ltd. 7,750,099 ........................................................................................................................ 944,460 Hong Kong and China Gas Co., Ltd. 1,253,242 ........................................................................................................................ 1,026,000 Hong Kong Electric Holdings, Ltd. 3,834,395 ------------------------------------------------------------------------------------------------------------------------ 12,837,736 ------------------------------------------------------------------------------------------------------------------------ India (0.1%) ........................................................................................................................ 9,095 Infosys Technologies, Ltd. 612,091 ------------------------------------------------------------------------------------------------------------------------ Ireland (1.8%) ........................................................................................................................ 411,257 Allied Irish Banks PLC 5,417,043 ........................................................................................................................ 147,500 Bank of Ireland 1,832,170 ........................................................................................................................ 433,594 CRH PLC 7,256,816 ------------------------------------------------------------------------------------------------------------------------ 14,506,029 ------------------------------------------------------------------------------------------------------------------------ Israel (0.4%) ........................................................................................................................ 46,100 Teva Pharmaceutical Industries, Ltd. ADR 3,078,558 ------------------------------------------------------------------------------------------------------------------------ Italy (1.2%) ........................................................................................................................ 96,600 Mediaset SpA 748,755 ........................................................................................................................ 695,893 Sanpaolo IMI SpA 6,981,187 ........................................................................................................................ 356,700 Telecom Italia SpA - RNC 1,891,344 ------------------------------------------------------------------------------------------------------------------------ 9,621,286 ------------------------------------------------------------------------------------------------------------------------ Japan (14.7%) ........................................................................................................................ 25,800 Acom Co., Ltd. 1,763,054 ........................................................................................................................ 18,800 Acom Co., Ltd. 144A 1,284,706 ........................................................................................................................ 12,400 Advantest Corp. 771,831 ........................................................................................................................ 33,500 Asatsu-DK, Inc. 729,537 ........................................................................................................................ 223,000 Canon, Inc. 8,428,786 ........................................................................................................................ 153 East Japan Railway Co. 716,170 ........................................................................................................................ 9,900 Fast Retailing Co., Ltd. 214,768 ........................................................................................................................ 166,000 Fuji Photo Film Companies, Ltd. 5,360,200 ........................................................................................................................ 344 Fuji Television Network, Inc. 1,989,086 ........................................................................................................................ 188,200 Honda Motor Co., Ltd. 7,631,640 ........................................................................................................................ 18 Japan Tobacco, Inc. 120,751 ........................................................................................................................ 165,000 KAO Corp. 3,799,750 ........................................................................................................................ 258,000 Matsushita Electric Works, Ltd. 1,851,314 ........................................................................................................................ 871,500 Nikko Securities Co., Ltd. 4,399,312 ........................................................................................................................ 27,500 Nintendo Co., Ltd. 4,049,854 ........................................................................................................................ 10,850 Nippon Television Network Corp. 2,420,768 ........................................................................................................................ 8,773 NTT DoCoMo, Inc. 21,593,951 ........................................................................................................................ 1,360 NTT DoCoMo, Inc. 144A 3,347,518 ........................................................................................................................ 112,000 Olympus Optical Co., Ltd. 1,564,355 ........................................................................................................................ 100 OMRON Corp. 1,448 ........................................................................................................................ 39,200 Orix Corp. 3,162,820 ........................................................................................................................ 16,500 Rohm Co., Ltd. 2,462,954 ........................................................................................................................ 141,200 Sankyo Company, Ltd. 1,920,367 ........................................................................................................................ 139,000 Shionogi & Co., Ltd. 1,773,308 ........................................................................................................................ 193,000 Sony Corp. 10,193,492 ........................................................................................................................ 1,347,000 Tokyo Gas Co., Ltd. 3,742,603 ........................................................................................................................ 804,900 Toyota Motor Corp. 21,356,546 ------------------------------------------------------------------------------------------------------------------------ 116,650,889 ------------------------------------------------------------------------------------------------------------------------ Mexico (1.8%) ........................................................................................................................ 158,830 Cemex SA de CV ADR 4,186,759 ........................................................................................................................ 51,200 Fomento Economico Mexicano SA de CV ADR 2,008,064 ........................................................................................................................ 122,066 Grupo Financiero BBVA Bancomer SA de CV (NON) 99,839 ........................................................................................................................ 68,815 Grupo Televisa SA de CV ADR (NON) 2,572,305 ........................................................................................................................ 168,697 Telefonos de Mexico SA de CV (Telmex) ADR Class L 5,411,800 ------------------------------------------------------------------------------------------------------------------------ 14,278,767 ------------------------------------------------------------------------------------------------------------------------ Netherlands (5.6%) ........................................................................................................................ 132,146 Akzo-Nobel NV 5,752,906 ........................................................................................................................ 69,906 Gucci Group NV ADR 6,613,807 ........................................................................................................................ 1,056,961 ING Groep NV 27,134,726 ........................................................................................................................ 212,441 TPG NV 4,797,308 ------------------------------------------------------------------------------------------------------------------------ 44,298,747 ------------------------------------------------------------------------------------------------------------------------ Portugal (0.3%) ........................................................................................................................ 322,764 Portugal Telecom SGPS SA 2,278,685 ------------------------------------------------------------------------------------------------------------------------ Singapore (1.2%) ........................................................................................................................ 295,366 DBS Group Holdings, Ltd. 2,073,448 ........................................................................................................................ 512,345 Overseas-Chinese Banking Corp. 3,393,590 ........................................................................................................................ 178,000 Singapore Press Holdings, Ltd. 2,005,322 ........................................................................................................................ 305,000 United Overseas Bank, Ltd. 2,192,878 ------------------------------------------------------------------------------------------------------------------------ 9,665,238 ------------------------------------------------------------------------------------------------------------------------ South Korea (6.5%) ........................................................................................................................ 33,700 Kookmin Bank ADR 1,656,355 ........................................................................................................................ 319,280 Korea Electric Power Corp. 5,848,593 ........................................................................................................................ 69,200 Korea Tobacco & Ginseng Corp. 144A GDR 449,108 ........................................................................................................................ 436,362 KT Corp. ADR 9,447,237 ........................................................................................................................ 9,280 Pohang Iron & Steel Co., Ltd. 1,031,540 ........................................................................................................................ 102,760 POSCO ADR 2,802,265 ........................................................................................................................ 92,734 Samsung Electronics Co., Ltd. 25,403,402 ........................................................................................................................ 11,810 SK Telecom Co., Ltd. 2,650,121 ........................................................................................................................ 107,135 SK Telecom Co., Ltd. ADR 2,655,877 ------------------------------------------------------------------------------------------------------------------------ 51,944,498 ------------------------------------------------------------------------------------------------------------------------ Spain (0.9%) ........................................................................................................................ 115,015 Altadis SA 2,373,525 ........................................................................................................................ 295,900 Iberdrola SA 4,309,532 ------------------------------------------------------------------------------------------------------------------------ 6,683,057 ------------------------------------------------------------------------------------------------------------------------ Sweden (3.2%) ........................................................................................................................ 912,327 Investor AB Class B 7,994,070 ........................................................................................................................ 433,400 Nordea AB 2,358,742 ........................................................................................................................ 160,755 Sandvik AB 4,015,769 ........................................................................................................................ 129,523 Securitas AB Class B 2,664,589 ........................................................................................................................ 339,285 Svenska Handelsbanken AB Class A 5,188,748 ........................................................................................................................ 2,088,917 Telefonaktiebolaget LM Ericsson AB Class B (NON) 3,160,513 ------------------------------------------------------------------------------------------------------------------------ 25,382,431 ------------------------------------------------------------------------------------------------------------------------ Switzerland (8.0%) ........................................................................................................................ 558,900 ABB, Ltd. (NON) 4,977,433 ........................................................................................................................ 75,706 Ciba Specialty Chemicals AG 6,067,980 ........................................................................................................................ 340,654 Cie Financier Richemont AG 7,750,462 ........................................................................................................................ 25,337 Holcim, Ltd. Class B 5,815,691 ........................................................................................................................ 12,320 Julius Baer Holdings, Ltd. AG Class B 3,539,992 ........................................................................................................................ 71,814 Nestle SA 16,749,199 ........................................................................................................................ 261,209 Novartis AG 11,490,879 ........................................................................................................................ 63,888 Swatch Group AG (The) 1,208,796 ........................................................................................................................ 30,960 Swatch Group AG (The) Class B 2,757,225 ........................................................................................................................ 2,590 Synthes-Stratec, Inc. 1,584,151 ........................................................................................................................ 24,010 UBS AG 1,207,923 ------------------------------------------------------------------------------------------------------------------------ 63,149,731 ------------------------------------------------------------------------------------------------------------------------ Taiwan (0.2%) ........................................................................................................................ 1,109,000 United Microelectronics Corp. (NON) 1,333,061 ------------------------------------------------------------------------------------------------------------------------ United Kingdom (20.9%) ........................................................................................................................ 242,191 Abbey National PLC 2,849,445 ........................................................................................................................ 693,371 AstraZeneca PLC 28,699,901 ........................................................................................................................ 565,080 BAE Systems PLC 2,884,959 ........................................................................................................................ 201,100 Barclays PLC 1,691,750 ........................................................................................................................ 201,600 BAT Industries PLC 2,166,031 ........................................................................................................................ 582,727 BHP Billiton PLC 3,174,872 ........................................................................................................................ 103,316 BOC Group PLC 1,604,452 ........................................................................................................................ 472,000 Brambles Industries PLC 2,361,194 ........................................................................................................................ 106,100 British Sky Broadcasting PLC 144A (NON) 1,017,070 ........................................................................................................................ 578,500 Cadbury Schweppes PLC 4,333,231 ........................................................................................................................ 763,776 Compass Group PLC 4,632,699 ........................................................................................................................ 474,700 Diageo PLC 6,163,733 ........................................................................................................................ 1,142,000 Dixons Group PLC 3,328,530 ........................................................................................................................ 912,469 GlaxoSmithKline PLC 19,718,745 ........................................................................................................................ 479,000 Hilton Group PLC 1,666,216 ........................................................................................................................ 215,694 HSBC Holdings PLC 2,480,175 ........................................................................................................................ 83,198 Rio Tinto PLC 1,525,329 ........................................................................................................................ 992,592 Scottish Power PLC 5,336,085 ........................................................................................................................ 3,116,924 Shell Transport & Trading Co. PLC 23,513,451 ........................................................................................................................ 295,765 Smiths Group PLC 3,840,355 ........................................................................................................................ 616,050 South African Breweries PLC 4,821,047 ........................................................................................................................ 155,900 South African Breweries PLC 144A 1,220,033 ........................................................................................................................ 2,351,819 Tesco PLC 8,548,251 ........................................................................................................................ 382,245 United Business Media PLC 2,534,055 ........................................................................................................................ 13,750,181 Vodafone Group PLC 18,859,748 ........................................................................................................................ 839,088 WPP Group PLC 7,084,386 ------------------------------------------------------------------------------------------------------------------------ 166,055,743 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $834,890,205) $771,628,934 ------------------------------------------------------------------------------------------------------------------------ UNITS (0.2%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Units Value ........................................................................................................................ 12,200 Infosys Technologies, Ltd. 144A Structured Call Warrants (Issued by UBS AG), expiration 7/16/02 (India) $822,931 ........................................................................................................................ 3,570 Nippon Television Network Corp. 144A Structured Call Warrants (Issued by Lehman Brothers Finance SA), expiration 8/6/02 (Japan) 797,255 ........................................................................................................................ 27,200 Singapore Press Holdings, Ltd. Structured Warrants (issued by Merrill Lynch Intl. & Co. CV), expiration 6/12/03 (Singapore) 306,432 ------------------------------------------------------------------------------------------------------------------------ Total Units (cost $2,136,101) $1,926,618 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (6.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $18,972,391 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $18,960,864 ........................................................................................................................ 32,860,201 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 32,860,201 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $51,821,065) $51,821,065 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $888,847,371) (b) $825,376,617 ------------------------------------------------------------------------------------------------------------------------ The fund had the following industry group concentrations greater than 10% at June 30, 2002 (as a percentage of net assets): Pharmaceuticals 10.7% ------------------------------------------------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT International Growth and Income Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (98.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Airlines (1.4%) ........................................................................................................................ 77,900 Deutsche Lufthansa AG (Germany) $1,092,242 ........................................................................................................................ 642,600 Qantas Airways, Ltd. (Australia) 1,659,180 ........................................................................................................................ 245,000 Singapore Airlines, Ltd. (Singapore) 1,789,232 ------------------------------------------------------------------------------------------------------------------------ 4,540,654 ------------------------------------------------------------------------------------------------------------------------ Automotive (5.8%) ........................................................................................................................ 75,300 Bayerische Motoren Werke (BMW) AG (Germany) 3,104,163 ........................................................................................................................ 102,400 Denso Corp. (Japan) 1,600,294 ........................................................................................................................ 56,900 Honda Motor Co., Ltd. (Japan) 2,307,334 ........................................................................................................................ 498,000 Nissan Motor Co., Ltd. (Japan) 3,448,811 ........................................................................................................................ 74,900 Peugeot SA (France) 3,886,401 ........................................................................................................................ 151,800 Toyota Motor Corp. (Japan) 4,027,735 ------------------------------------------------------------------------------------------------------------------------ 18,374,738 ------------------------------------------------------------------------------------------------------------------------ Banking (13.1%) ........................................................................................................................ 158,400 Abbey National PLC (United Kingdom) 1,863,620 ........................................................................................................................ 267,400 Allied Irish Banks PLC (Ireland) 3,522,170 ........................................................................................................................ 568,884 Barclays PLC (United Kingdom) 4,785,725 ........................................................................................................................ 91,300 BNP Paribas SA (France) 5,048,379 ........................................................................................................................ 159,300 Danske Bank A/S (Denmark) 2,933,838 ........................................................................................................................ 434,300 HSBC Holdings PLC (United Kingdom) 4,993,833 ........................................................................................................................ 388,900 Lloyds TSB Group PLC (United Kingdom) 3,870,224 ........................................................................................................................ 154,076 National Bank of Canada (Canada) 3,069,768 ........................................................................................................................ 214,842 Sanpaolo IMI SpA (Italy) 2,155,292 ........................................................................................................................ 55,746 Societe Generale (France) 3,671,408 ........................................................................................................................ 350,900 UniCredito Italiano SpA (Italy) 1,586,872 ........................................................................................................................ 463,000 Westpac Banking Corp. (Australia) 4,220,482 ------------------------------------------------------------------------------------------------------------------------ 41,721,611 ------------------------------------------------------------------------------------------------------------------------ Basic Materials (1.1%) ........................................................................................................................ 74,800 Compagnie de Saint Gobain (France) 3,356,824 ------------------------------------------------------------------------------------------------------------------------ Beverage (2.7%) ........................................................................................................................ 372,000 Diageo PLC (United Kingdom) 4,830,227 ........................................................................................................................ 58,000 Interbrew (Belgium) 1,664,816 ........................................................................................................................ 251,000 South African Breweries PLC (United Kingdom) 1,964,261 ------------------------------------------------------------------------------------------------------------------------ 8,459,304 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.5%) ........................................................................................................................ 1,018,453 Granada PLC (United Kingdom) 1,730,616 ------------------------------------------------------------------------------------------------------------------------ Building Materials (0.8%) ........................................................................................................................ 210,000 Asahi Glass Co., Ltd. (Japan) 1,343,930 ........................................................................................................................ 190,900 Hanson PLC (United Kingdom) 1,363,015 ------------------------------------------------------------------------------------------------------------------------ 2,706,945 ------------------------------------------------------------------------------------------------------------------------ Chemicals (1.7%) ........................................................................................................................ 38,600 Akzo-Nobel NV (Netherlands) 1,680,430 ........................................................................................................................ 79,100 BASF AG (Germany) 3,666,952 ------------------------------------------------------------------------------------------------------------------------ 5,347,382 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (0.7%) ........................................................................................................................ 216,900 Toppan Printing Co., Ltd. (Japan) 2,254,964 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.9%) ........................................................................................................................ 207,154 Nokia OYJ (Finland) 3,031,340 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (0.5%) ........................................................................................................................ 312,300 Brambles Industries Ltd. (Australia) 1,654,775 ------------------------------------------------------------------------------------------------------------------------ Construction (1.9%) ........................................................................................................................ 77,444 CRH PLC (Ireland) 1,296,136 ........................................................................................................................ 6,900 Holcim, Ltd. Class B (Switzerland) 1,583,781 ........................................................................................................................ 30,500 Lafarge (France) 3,041,686 ------------------------------------------------------------------------------------------------------------------------ 5,921,603 ------------------------------------------------------------------------------------------------------------------------ Consumer Cyclicals (1.9%) ........................................................................................................................ 121,400 Cie Financier Richemont AG (Switzerland) 2,762,058 ........................................................................................................................ 132,300 Matsushita Electric Industrial Co. (Japan) 1,804,844 ........................................................................................................................ 16,300 Swatch Group AG (The) Class B (Switzerland) 1,451,640 ------------------------------------------------------------------------------------------------------------------------ 6,018,542 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (1.5%) ........................................................................................................................ 69,500 Acom Co., Ltd. (Japan) 4,749,312 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.4%) ........................................................................................................................ 189,000 KAO Corp. (Japan) 4,352,441 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.9%) ........................................................................................................................ 217,500 Deutsche Post AG (Germany) 2,759,660 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (6.3%) ........................................................................................................................ 98,900 Chubu Electric Power, Inc. (Japan) 1,737,042 ........................................................................................................................ 405,000 CLP Holdings, Ltd. (Hong Kong) 1,609,636 ........................................................................................................................ 103,850 E.On AG (Germany) 6,049,948 ........................................................................................................................ 11,200 Electrabel SA (Belgium) 2,587,778 ........................................................................................................................ 519,600 Hong Kong Electric Holdings, Ltd. (Hong Kong) 1,941,863 ........................................................................................................................ 205,200 Iberdrola SA (Spain) 2,988,564 ........................................................................................................................ 94,800 Korea Electric Power Corp. (South Korea) 1,736,553 ........................................................................................................................ 155,339 Scottish and Southern Energy PLC (United Kingdom) 1,536,421 ------------------------------------------------------------------------------------------------------------------------ 20,187,805 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (1.0%) ........................................................................................................................ 351,870 ABB, Ltd. (Switzerland) (NON) 3,133,672 ------------------------------------------------------------------------------------------------------------------------ Electronics (3.6%) ........................................................................................................................ 33,250 Celestica, Inc. (Canada) (NON) 748,387 ........................................................................................................................ 46,200 Fuji Soft ABC, Inc. (Japan) 1,861,877 ........................................................................................................................ 90,200 Koninklijke (Royal) Philips Electronics NV (Netherlands) 2,517,825 ........................................................................................................................ 11,320 Samsung Electronics Co., Ltd. (South Korea) 3,100,983 ........................................................................................................................ 673,024 Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) (NON) 1,371,871 ........................................................................................................................ 1,552,000 United Microelectronics Corp. (Taiwan) (NON) 1,865,564 ------------------------------------------------------------------------------------------------------------------------ 11,466,507 ------------------------------------------------------------------------------------------------------------------------ Engineering & Construction (0.7%) ........................................................................................................................ 330,400 Saipem SpA (Italy) 2,375,005 ------------------------------------------------------------------------------------------------------------------------ Financial (1.0%) ........................................................................................................................ 404,600 Sampo OYJ Class A (Finland) 3,156,066 ------------------------------------------------------------------------------------------------------------------------ Food (5.1%) ........................................................................................................................ 190,200 Cadbury Schweppes PLC (United Kingdom) 1,424,685 ........................................................................................................................ 43,915 Nestle SA (Switzerland) 10,242,307 ........................................................................................................................ 1,253,751 Tesco PLC (United Kingdom) 4,557,061 ------------------------------------------------------------------------------------------------------------------------ 16,224,053 ------------------------------------------------------------------------------------------------------------------------ Household Furniture and Appliances (0.6%) ........................................................................................................................ 91,600 Electrolux AB (Sweden) 1,849,528 ------------------------------------------------------------------------------------------------------------------------ Insurance (9.9%) ........................................................................................................................ 88,100 ACE, Ltd. (Bermuda) 2,783,960 ........................................................................................................................ 7,298 Allianz AG (Germany) 1,461,386 ........................................................................................................................ 33,230 Converium Holding AG (Switzerland) (NON) 1,717,561 ........................................................................................................................ 129,277 Fortis (Belgium) (NON) 2,754,646 ........................................................................................................................ 132,144 ING Groep NV (Netherlands) 3,392,454 ........................................................................................................................ 367 Millea Holdings, Inc. (Japan) (NON) 3,013,166 ........................................................................................................................ 17,919 Muenchener Rueckversicherungs- Gesellschaft AG (Germany) 4,237,526 ........................................................................................................................ 47,800 Sun Life Financial Services of Canada, Inc. (Canada) 1,034,703 ........................................................................................................................ 28,654 Swiss Reinsurance Co. (Switzerland) 2,802,229 ........................................................................................................................ 7,900 Swiss Reinsurance Co. 144A (Switzerland) 772,584 ........................................................................................................................ 31,400 XL Capital, Ltd. Class A (Bermuda) 2,659,580 ........................................................................................................................ 257,000 Yasuda Fire & Marine Insurance Company, Ltd. (The) (Japan) 1,573,951 ........................................................................................................................ 17,100 Zurich Financial Services AG (Switzerland) 3,453,791 ------------------------------------------------------------------------------------------------------------------------ 31,657,537 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (1.3%) ........................................................................................................................ 52,600 Orix Corp. (Japan) 4,243,988 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (1.5%) ........................................................................................................................ 35,435 Accor SA (France) 1,436,978 ........................................................................................................................ 954,600 Hilton Group PLC (United Kingdom) 3,320,605 ------------------------------------------------------------------------------------------------------------------------ 4,757,583 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (0.5%) ........................................................................................................................ 98,300 ThyssenKrupp AG (Germany) 1,504,452 ------------------------------------------------------------------------------------------------------------------------ Metals (3.0%) ........................................................................................................................ 151,800 Arcelor (Luxembourg) (NON) 2,153,881 ........................................................................................................................ 451,600 BHP Billiton PLC (United Kingdom) 2,460,452 ........................................................................................................................ 47,300 Companhia Vale do Rio Doce (CVRD) ADR (Brazil) (NON) 1,308,791 ........................................................................................................................ 59,000 Inco, Ltd. (Canada) (NON) 1,324,862 ........................................................................................................................ 20,500 Pohang Iron & Steel Co., Ltd. (South Korea) 2,278,726 ------------------------------------------------------------------------------------------------------------------------ 9,526,712 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (9.0%) ........................................................................................................................ 1,370,009 BP PLC (United Kingdom) 11,504,294 ........................................................................................................................ 154,758 ENI SpA (Italy) 2,455,625 ........................................................................................................................ 105,800 Petroleo Brasileiro SA ADR (Brazil) 1,995,388 ........................................................................................................................ 949,000 Shell Transport & Trading Co. PLC (United Kingdom) 7,159,066 ........................................................................................................................ 203,500 Statoil ASA (Norway) 1,817,691 ........................................................................................................................ 15,900 Technip-Coflexip SA (France) 1,673,584 ........................................................................................................................ 12,954 TotalFinaElf SA Class B (France) 2,102,804 ------------------------------------------------------------------------------------------------------------------------ 28,708,452 ------------------------------------------------------------------------------------------------------------------------ Other (1.5%) ........................................................................................................................ JPY 547,000 Nomura Topix ETF (Japan) 4,682,703 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (1.7%) ........................................................................................................................ 62,600 Svenska Cellulosa AB SCA Class B (Sweden) 2,228,146 ........................................................................................................................ 84,049 UPM-Kymmene OYJ (Finland) 3,307,981 ------------------------------------------------------------------------------------------------------------------------ 5,536,127 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (6.9%) ........................................................................................................................ 36,697 AstraZeneca PLC (United Kingdom) 1,518,956 ........................................................................................................................ 27,300 Aventis SA (France) 1,934,094 ........................................................................................................................ 78,000 Daiichi Pharmaceutical Company, Ltd. (Japan) 1,425,282 ........................................................................................................................ 308,200 Novartis AG (Switzerland) 13,558,066 ........................................................................................................................ 27,800 Sanofi-Synthelabo SA (France) 1,690,903 ........................................................................................................................ 45,000 Takeda Chemical Industries, Ltd. (Japan) 1,974,969 ------------------------------------------------------------------------------------------------------------------------ 22,102,270 ------------------------------------------------------------------------------------------------------------------------ Railroads (1.7%) ........................................................................................................................ 34,000 Canadian National Railway Co. (Canada) 1,789,427 ........................................................................................................................ 1,154,800 Dixons Group PLC (United Kingdom) 3,365,838 ........................................................................................................................ 50 East Japan Railway Co. (Japan) 234,043 ------------------------------------------------------------------------------------------------------------------------ 5,389,308 ------------------------------------------------------------------------------------------------------------------------ Retail (1.0%) ........................................................................................................................ 65,600 Fast Retailing Co., Ltd. (Japan) 1,423,112 ........................................................................................................................ 113,400 Next PLC (United Kingdom) 1,610,697 ------------------------------------------------------------------------------------------------------------------------ 3,033,809 ------------------------------------------------------------------------------------------------------------------------ Software (0.5%) ........................................................................................................................ 423,483 Misys PLC (United Kingdom) 1,561,839 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (4.1%) ........................................................................................................................ 328,000 BT Group PLC (United Kingdom) 1,259,677 ........................................................................................................................ 1,637 NTT DoCoMo, Inc. (Japan) 4,029,328 ........................................................................................................................ 400,300 Portugal Telecom SGPS SA (Portugal) 2,826,082 ........................................................................................................................ 60,200 TDC A/S (Denmark) 1,665,062 ........................................................................................................................ 131,600 Telefonica SA (Spain) (NON) 1,104,506 ........................................................................................................................ 1,662,451 Vodafone Group PLC (United Kingdom) 2,280,218 ------------------------------------------------------------------------------------------------------------------------ 13,164,873 ------------------------------------------------------------------------------------------------------------------------ Tobacco (1.2%) ........................................................................................................................ 341,500 BAT Industries PLC (United Kingdom) 3,669,144 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $314,888,896) $314,912,144 ------------------------------------------------------------------------------------------------------------------------ UNITS (0.5%) (a) (NON) (cost $1,741,082) ------------------------------------------------------------------------------------------------------------------------ Number Of Warrants Value ........................................................................................................................ 40,970 Korea Telecom Corp. 144A Structured Call Warrants (issued by UBS AG) expiration 11/15/02 (Korea) $1,647,669 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $316,629,978) (b) $316,559,813 ------------------------------------------------------------------------------------------------------------------------
DIVERSIFICATION BY COUNTRY ------------------------------------------------------------------------------ Distribution of investments by country of issue at June 30, 2002: (as percentage of Market Value) ------------------------------------------------------------------------------ Australia 2.4% .............................................................................. Belgium 2.2 .............................................................................. Bermuda 1.7 .............................................................................. Brazil 1.0 .............................................................................. Canada 2.5 .............................................................................. Denmark 1.5 .............................................................................. Finland 3.0 .............................................................................. France 8.8 .............................................................................. Germany 7.5 .............................................................................. Hong Kong 1.1 .............................................................................. Ireland 1.5 .............................................................................. Italy 2.7 .............................................................................. Japan 16.5 .............................................................................. Netherlands 2.4 .............................................................................. South Korea 2.3 .............................................................................. Spain 1.3 .............................................................................. Sweden 1.3 .............................................................................. Switzerland 13.1 .............................................................................. Taiwan 1.0 .............................................................................. United Kingdom 22.9 .............................................................................. Other 3.3 ------------------------------------------------------------------------------ Total 100.0% ------------------------------------------------------------------------------ The fund had the following industry group concentrations greater than 10% at June 30, 2002 (as a percentage of net assets): Banking 13.1% Insurance 10.0% ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT International New Opportunities Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (99.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Aerospace and Defense (0.2%) ........................................................................................................................ 795,000 Finmeccanica SpA (Italy) $602,867 ------------------------------------------------------------------------------------------------------------------------ Airlines (3.2%) ........................................................................................................................ 442,100 easyJet PLC (United Kingdom) (NON) 2,317,736 ........................................................................................................................ 160,763 easyJet PLC Rights (United Kingdom) (NON) 196,002 ........................................................................................................................ 994,300 Qantas Airways, Ltd. (Australia) 2,567,263 ........................................................................................................................ 40,100 Qantas Airways, Ltd. 144A (Australia) 103,537 ........................................................................................................................ 499,000 Singapore Airlines, Ltd. (Singapore) 3,644,192 ------------------------------------------------------------------------------------------------------------------------ 8,828,730 ------------------------------------------------------------------------------------------------------------------------ Automotive (4.7%) ........................................................................................................................ 112,000 Bayerische Motoren Werke (BMW) AG (Germany) 4,617,082 ........................................................................................................................ 65,400 Honda Motor Co., Ltd. (Japan) 2,652,015 ........................................................................................................................ 97,500 Peugeot SA (France) 5,059,067 ........................................................................................................................ 21,400 Toyota Motor Corp. (Japan) 567,810 ------------------------------------------------------------------------------------------------------------------------ 12,895,974 ------------------------------------------------------------------------------------------------------------------------ Banking (13.0%) ........................................................................................................................ 255,500 Anglo Irish Bank Corporation PLC (Ireland) 1,647,393 ........................................................................................................................ 151,600 Banco Popular Espanol (Spain) 6,701,614 ........................................................................................................................ 530,600 Barclays PLC (United Kingdom) 4,463,662 ........................................................................................................................ 154,000 DBS Group Holdings, Ltd. (Singapore) 1,081,069 ........................................................................................................................ 517,100 DnB Holdings ASA (Norway) 2,819,543 ........................................................................................................................ 487,800 HSBC Holdings PLC (United Kingdom) 5,609,007 ........................................................................................................................ 45,006 Kookmin Bank (South Korea) 2,188,468 ........................................................................................................................ 108,800 Northern Rock PLC (United Kingdom) 1,130,003 ........................................................................................................................ 27,500 Societe Generale (France) 1,811,138 ........................................................................................................................ 285,200 Standard Chartered PLC (United Kingdom) 3,042,514 ........................................................................................................................ 557,400 Westpac Banking Corp. (Australia) 5,080,986 ------------------------------------------------------------------------------------------------------------------------ 35,575,397 ------------------------------------------------------------------------------------------------------------------------ Basic Materials (0.3%) ........................................................................................................................ 17,100 Compagnie de Saint Gobain (France) 767,402 ------------------------------------------------------------------------------------------------------------------------ Beverage (1.4%) ........................................................................................................................ 107,100 Companhia de Bebidas das Americas (AmBev) ADR (Brazil) 1,664,334 ........................................................................................................................ 100,500 Molson, Inc. Class A (Canada) 2,177,456 ------------------------------------------------------------------------------------------------------------------------ 3,841,790 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (4.3%) ........................................................................................................................ 129,200 Amadeus Global Travel Distribution SA Class A (Spain) 826,667 ........................................................................................................................ 905,600 Autostrade SpA (Italy) 7,511,191 ........................................................................................................................ 67,600 Hagemeyer NV (Netherlands) 934,475 ........................................................................................................................ 29,900 Securitas AB Class B (Sweden) 615,112 ........................................................................................................................ 174,000 Toppan Printing Co., Ltd. (Japan) 1,808,961 ------------------------------------------------------------------------------------------------------------------------ 11,696,406 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (2.1%) ........................................................................................................................ 880,300 Brambles Industries PLC (United Kingdom) 4,403,727 ........................................................................................................................ 1,206,000 China Resources Enterprise, Ltd. (China) 1,414,749 ------------------------------------------------------------------------------------------------------------------------ 5,818,476 ------------------------------------------------------------------------------------------------------------------------ Construction (2.9%) ........................................................................................................................ 473,900 CRH PLC (Ireland) 7,931,394 ------------------------------------------------------------------------------------------------------------------------ Consumer Cyclicals (3.3%) ........................................................................................................................ 170,400 Sony Corp. (Japan) 8,999,852 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (0.6%) ........................................................................................................................ 30,000 KAO Corp. (Japan) 690,864 ........................................................................................................................ 56,200 Reckitt Benckiser PLC (United Kingdom) 1,008,086 ------------------------------------------------------------------------------------------------------------------------ 1,698,950 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (1.6%) ........................................................................................................................ 1,059,928 TPI Paginas Amarillas (Spain) 4,322,346 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (1.1%) ........................................................................................................................ 49,900 E.On AG (Germany) 2,907,004 ------------------------------------------------------------------------------------------------------------------------ Electronics (6.5%) ........................................................................................................................ 13,400 Hirose Electric Co., Ltd. (Japan) 1,168,377 ........................................................................................................................ 46,000 Ibiden Co., Ltd. (Japan) 700,843 ........................................................................................................................ 52,300 Mitsumi Electric Company, Ltd. (Japan) 822,574 ........................................................................................................................ 9,400 Nidec Corp. (Japan) 681,569 ........................................................................................................................ 68,300 OMRON Corp. (Japan) 988,740 ........................................................................................................................ 31,900 Rohm Co., Ltd. (Japan) 4,761,710 ........................................................................................................................ 16,530 Samsung Electronics Co., Ltd. (South Korea) 4,528,202 ........................................................................................................................ 440 Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) (NON) 897 ........................................................................................................................ 168,600 Thomson Multimedia SA (France) (NON) 3,987,092 ------------------------------------------------------------------------------------------------------------------------ 17,640,004 ------------------------------------------------------------------------------------------------------------------------ Engineering & Construction (2.5%) ........................................................................................................................ 405,900 Amec PLC (United Kingdom) 2,588,806 ........................................................................................................................ 60,750 Vinci SA (France) 4,117,939 ------------------------------------------------------------------------------------------------------------------------ 6,706,745 ------------------------------------------------------------------------------------------------------------------------ Entertainment (0.4%) ........................................................................................................................ 153,400 TABCORP Holdings, Ltd. (Australia) 1,076,293 ------------------------------------------------------------------------------------------------------------------------ Financial (2.3%) ........................................................................................................................ 119,750 Dexia (Belgium) 1,845,744 ........................................................................................................................ 54,600 Orix Corp. (Japan) 4,405,357 ------------------------------------------------------------------------------------------------------------------------ 6,251,101 ------------------------------------------------------------------------------------------------------------------------ Food (0.3%) ........................................................................................................................ 3,660 Nestle SA (Switzerland) 853,623 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (1.4%) ........................................................................................................................ 268,300 Aristocrat Leisure, Ltd. (Australia) 814,729 ........................................................................................................................ 611,300 William Hill PLC (United Kingdom) (NON) 2,468,796 ........................................................................................................................ 146,200 William Hill PLC 144A (United Kingdom) (NON) 590,443 ------------------------------------------------------------------------------------------------------------------------ 3,873,968 ------------------------------------------------------------------------------------------------------------------------ Insurance (6.8%) ........................................................................................................................ 76,050 Aegon NV (Netherlands) 1,585,187 ........................................................................................................................ 33,800 CNP Assurances (France) 1,385,026 ........................................................................................................................ 193,100 ING Groep NV (Netherlands) 4,957,340 ........................................................................................................................ 14,556 Muenchener Rueckversicherungs-Gesellschaft AG (Germany) 3,442,236 ........................................................................................................................ 91,800 Sun Life Financial Services of Canada, Inc. (Canada) 1,987,149 ........................................................................................................................ 159,700 Willis Group Holdings, Ltd. (United Kingdom) (NON) 5,255,727 ------------------------------------------------------------------------------------------------------------------------ 18,612,665 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (2.2%) ........................................................................................................................ 121,700 3i Group PLC (United Kingdom) 1,269,548 ........................................................................................................................ 161,503 Banca Fideuram SpA (Italy) 1,006,243 ........................................................................................................................ 86,300 Investors Group, Inc. (Canada) 1,574,714 ........................................................................................................................ 69,620 Samsung Securities Co., Ltd. (South Korea) (NON) 1,994,112 ------------------------------------------------------------------------------------------------------------------------ 5,844,617 ------------------------------------------------------------------------------------------------------------------------ Office Equipment & Supplies (2.4%) ........................................................................................................................ 173,000 Canon, Inc. (Japan) 6,538,924 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (10.0%) ........................................................................................................................ 146,100 Canadian Natural Resources (Canada) 4,949,416 ........................................................................................................................ 166,050 ENI SpA (Italy) 2,634,801 ........................................................................................................................ 184,400 Nexen, Inc. (Canada) 4,971,331 ........................................................................................................................ 55,262 Royal Dutch Petroleum Co. (Netherlands) 3,077,505 ........................................................................................................................ 919,100 Statoil ASA (Norway) 8,209,532 ........................................................................................................................ 79,900 Talisman Energy, Inc. (Canada) 3,585,728 ------------------------------------------------------------------------------------------------------------------------ 27,428,313 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (12.4%) ........................................................................................................................ 161,600 AstraZeneca PLC (United Kingdom) 6,688,921 ........................................................................................................................ 90,000 Daiichi Pharmaceutical Company, Ltd. (Japan) 1,644,556 ........................................................................................................................ 385,470 GlaxoSmithKline PLC (United Kingdom) 8,330,130 ........................................................................................................................ 22,200 H. Lundbeck A/S (Denmark) 587,458 ........................................................................................................................ 57,900 Novartis AG (Switzerland) 2,547,086 ........................................................................................................................ 15,000 Roche Holding AG (Switzerland) 1,134,225 ........................................................................................................................ 88,081 Sanofi-Synthelabo SA (France) 5,357,425 ........................................................................................................................ 107,000 Takeda Chemical Industries, Ltd. (Japan) 4,696,037 ........................................................................................................................ 184,300 Terumo Corp. (Japan) 2,463,484 ........................................................................................................................ 19,000 Yamanouchi Pharmaceutical Co., Ltd. (Japan) 493,033 ------------------------------------------------------------------------------------------------------------------------ 33,942,355 ------------------------------------------------------------------------------------------------------------------------ Photography/Imaging (0.5%) ........................................................................................................................ 104,000 Olympus Optical Co., Ltd. (Japan) 1,452,616 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.6%) ........................................................................................................................ 31,400 Canadian National Railway Co. (Canada) 1,652,588 ------------------------------------------------------------------------------------------------------------------------ Retail (3.9%) ........................................................................................................................ 532,200 Carphone Warehouse Group PLC 144A (United Kingdom) (NON) 729,966 ........................................................................................................................ 14,500 FamilyMart Co., Ltd. (Japan) 350,855 ........................................................................................................................ 96,600 Hennes & Mauritz AB Class B (Sweden) 1,934,713 ........................................................................................................................ 39,100 Industria de Diseno Textil SA (Inditex) (Spain) (NON) 825,425 ........................................................................................................................ 298,700 Next PLC (United Kingdom) 4,242,639 ........................................................................................................................ 850,600 Signet Group PLC (United Kingdom) 1,228,258 ........................................................................................................................ 386,900 Tesco PLC (United Kingdom) 1,406,281 ------------------------------------------------------------------------------------------------------------------------ 10,718,137 ------------------------------------------------------------------------------------------------------------------------ Software (0.6%) ........................................................................................................................ 72 NTT Data Corp. (Japan) 288,360 ........................................................................................................................ 50,000 Trend Micro, Inc. (Japan) (NON) 1,397,580 ------------------------------------------------------------------------------------------------------------------------ 1,685,940 ------------------------------------------------------------------------------------------------------------------------ Technology Services (0.9%) ........................................................................................................................ 65,100 Indra Sistemas SA Class A (Spain) 562,448 ........................................................................................................................ 14,500 Logitech International (Switzerland) (NON) 674,419 ........................................................................................................................ 4,600 Nomura Research Institute, Ltd. 144A (Japan) 632,524 ........................................................................................................................ 33 Yahoo Japan Corp. (Japan) (NON) 710,388 ------------------------------------------------------------------------------------------------------------------------ 2,579,779 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (6.7%) ........................................................................................................................ 883 Japan Telecom Co., Ltd. (Japan) 2,527,067 ........................................................................................................................ 61,400 KT Corp. ADR (South Korea) 1,329,310 ........................................................................................................................ 148 Nippon Telegraph and Telephone Corp. (NTT) (Japan) 608,794 ........................................................................................................................ 644 NTT DoCoMo, Inc. (Japan) 1,585,148 ........................................................................................................................ 568,400 Portugal Telecom SGPS SA (Portugal) 4,012,853 ........................................................................................................................ 4,142 Swisscom AG (Switzerland) 1,205,462 ........................................................................................................................ 1,810,677 Telecom Corp. of New Zealand, Ltd. (New Zealand) 4,331,205 ........................................................................................................................ 2,080,718 Vodafone Group PLC (United Kingdom) 2,853,913 ------------------------------------------------------------------------------------------------------------------------ 18,453,752 ------------------------------------------------------------------------------------------------------------------------ Tobacco (0.4%) ........................................................................................................................ 99,800 BAT Industries PLC (United Kingdom) 1,072,271 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $259,971,800) $272,270,279 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (6.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $15,336,684 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $15,327,366 ........................................................................................................................ 3,205,145 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 3,205,145 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $18,532,511) $18,532,511 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $278,504,311) (b) $290,802,790 ------------------------------------------------------------------------------------------------------------------------
Diversification by Country ------------------------------------------------------------------------------ Distribution of investments by country of issue at June 30, 2002: (as percentage of Market Value) ------------------------------------------------------------------------------ Australia 3.5% .............................................................................. Belgium 0.7 .............................................................................. Brazil 0.6 .............................................................................. Canada 7.7 .............................................................................. China 0.5 .............................................................................. Denmark 0.2 .............................................................................. France 8.3 .............................................................................. Germany 4.0 .............................................................................. Ireland 3.5 .............................................................................. Italy 4.3 .............................................................................. Japan 19.7 .............................................................................. Netherlands 3.9 .............................................................................. New Zealand 1.6 .............................................................................. Norway 4.0 .............................................................................. Portugal 1.5 .............................................................................. Singapore 1.7 .............................................................................. South Korea 3.7 .............................................................................. Spain 4.9 .............................................................................. Sweden 0.9 .............................................................................. Switzerland 2.4 .............................................................................. United Kingdom 22.4 ------------------------------------------------------------------------------ Total 100.0% ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Investors Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (98.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Advertising and Marketing Services (--%) ........................................................................................................................ 900 Omnicom Group, Inc. $41,220 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (0.8%) ........................................................................................................................ 45,300 Lockheed Martin Corp. 3,148,350 ........................................................................................................................ 43,000 Raytheon Co. 1,752,250 ........................................................................................................................ 24,200 Rockwell Collins, Inc. 663,564 ------------------------------------------------------------------------------------------------------------------------ 5,564,164 ------------------------------------------------------------------------------------------------------------------------ Agriculture (--%) ........................................................................................................................ 2,400 Monsanto Co. 42,720 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.5%) ........................................................................................................................ 216,700 Southwest Airlines Co. 3,501,872 ------------------------------------------------------------------------------------------------------------------------ Automotive (1.1%) ........................................................................................................................ 29,300 General Motors Corp. 1,566,085 ........................................................................................................................ 69,200 Johnson Controls, Inc. 5,647,412 ------------------------------------------------------------------------------------------------------------------------ 7,213,497 ------------------------------------------------------------------------------------------------------------------------ Banking (7.9%) ........................................................................................................................ 195,200 Bank of New York Company, Inc. (The) 6,588,000 ........................................................................................................................ 65,700 BB&T Corp. 2,536,020 ........................................................................................................................ 116,300 Comerica, Inc. 7,140,820 ........................................................................................................................ 37,850 Fifth Third Bancorp 2,522,703 ........................................................................................................................ 64,700 Greenpoint Financial Corp. 3,176,770 ........................................................................................................................ 28,900 M&T Bank Corp. 2,478,464 ........................................................................................................................ 44,700 Mellon Financial Corp. 1,404,921 ........................................................................................................................ 13,500 South Trust Corp. 352,620 ........................................................................................................................ 573,800 U.S. Bancorp 13,398,230 ........................................................................................................................ 88,700 Washington Mutual, Inc. 3,291,657 ........................................................................................................................ 116,200 Wells Fargo & Co. 5,816,972 ........................................................................................................................ 76,800 Zions Bancorporation 4,001,280 ------------------------------------------------------------------------------------------------------------------------ 52,708,457 ------------------------------------------------------------------------------------------------------------------------ Beverage (1.3%) ........................................................................................................................ 14,800 Anheuser-Busch Companies, Inc. 740,000 ........................................................................................................................ 28,900 Coca-Cola Co. (The) 1,618,400 ........................................................................................................................ 34,800 Pepsi Bottling Group, Inc. (The) 1,071,840 ........................................................................................................................ 110,400 PepsiCo, Inc. 5,321,280 ------------------------------------------------------------------------------------------------------------------------ 8,751,520 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (1.2%) ........................................................................................................................ 84,700 Amgen, Inc. (NON) 3,547,236 ........................................................................................................................ 10,900 IDEC Pharmaceuticals Corp. (NON) 386,405 ........................................................................................................................ 166,400 MedImmune, Inc. (NON) 4,392,960 ------------------------------------------------------------------------------------------------------------------------ 8,326,601 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (1.8%) ........................................................................................................................ 170,800 Echostar Communications Corp. Class A (NON) 3,170,048 ........................................................................................................................ 200,500 Viacom, Inc. Class B (NON) 8,896,185 ------------------------------------------------------------------------------------------------------------------------ 12,066,233 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.4%) ........................................................................................................................ 112,300 Comcast Corp. Class A (NON) 2,677,232 ------------------------------------------------------------------------------------------------------------------------ Capital Goods (0.4%) ........................................................................................................................ 34,500 Eaton Corp. 2,509,875 ------------------------------------------------------------------------------------------------------------------------ Chemicals (2.1%) ........................................................................................................................ 37,500 3M Co. 4,612,500 ........................................................................................................................ 6,100 Air Products & Chemicals, Inc. 307,867 ........................................................................................................................ 13,800 Dow Chemical Co. (The) 474,444 ........................................................................................................................ 13,400 E.I. du Pont de Nemours & Co. 594,960 ........................................................................................................................ 6,300 Hercules, Inc. (NON) 73,080 ........................................................................................................................ 131,300 PPG Industries, Inc. 8,127,470 ........................................................................................................................ 5,900 Rohm & Haas Co. 238,891 ------------------------------------------------------------------------------------------------------------------------ 14,429,212 ------------------------------------------------------------------------------------------------------------------------ Coal (--%) ........................................................................................................................ 6,200 Arch Coal, Inc. 140,802 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (0.2%) ........................................................................................................................ 23,200 Sabre Holdings Corp. (NON) 830,560 ........................................................................................................................ 17,000 ServiceMaster Co. (The) 233,240 ------------------------------------------------------------------------------------------------------------------------ 1,063,800 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.6%) ........................................................................................................................ 232,300 Cisco Systems, Inc. (NON) 3,240,585 ........................................................................................................................ 51,200 Lucent Technologies, Inc. (NON) 84,992 ........................................................................................................................ 84,100 Nortel Networks Corp. (Canada) (NON) 121,945 ........................................................................................................................ 24,800 QUALCOMM, Inc. (NON) 681,752 ------------------------------------------------------------------------------------------------------------------------ 4,129,274 ------------------------------------------------------------------------------------------------------------------------ Computers (3.5%) ........................................................................................................................ 340,800 Dell Computer Corp. (NON) 8,908,512 ........................................................................................................................ 158,700 EMC Corp. (NON) 1,198,185 ........................................................................................................................ 460,125 Hewlett-Packard Co. 7,030,710 ........................................................................................................................ 44,000 IBM Corp. 3,168,000 ........................................................................................................................ 30,400 Lexmark International, Inc. (NON) 1,653,760 ........................................................................................................................ 28,300 Maxtor Corp. (NON) 127,916 ........................................................................................................................ 33,000 NCR Corp. (NON) 1,141,800 ------------------------------------------------------------------------------------------------------------------------ 23,228,883 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (3.5%) ........................................................................................................................ 494,400 General Electric Co. 14,362,320 ........................................................................................................................ 175,300 Honeywell International, Inc. 6,175,819 ........................................................................................................................ 221,500 Tyco International, Ltd. (Bermuda) 2,992,465 ------------------------------------------------------------------------------------------------------------------------ 23,530,604 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (3.1%) ........................................................................................................................ 130,300 Capital One Financial Corp. 7,954,815 ........................................................................................................................ 79,750 Household International, Inc. 3,963,575 ........................................................................................................................ 263,000 MBNA Corp. 8,697,410 ------------------------------------------------------------------------------------------------------------------------ 20,615,800 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (2.3%) ........................................................................................................................ 100,400 Colgate-Palmolive Co. 5,025,020 ........................................................................................................................ 58,300 Fortune Brands, Inc. 3,264,800 ........................................................................................................................ 6,800 Kimberly-Clark Corp. 421,600 ........................................................................................................................ 4,800 Newell Rubbermaid, Inc. 168,288 ........................................................................................................................ 73,700 Procter & Gamble Co. 6,581,410 ------------------------------------------------------------------------------------------------------------------------ 15,461,118 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (3.0%) ........................................................................................................................ 31,800 Aquila, Inc. 254,400 ........................................................................................................................ 98,900 Edison International (NON) 1,681,300 ........................................................................................................................ 87,900 Entergy Corp. 3,730,476 ........................................................................................................................ 27,500 FPL Group, Inc. 1,649,725 ........................................................................................................................ 407,600 PG&E Corp. (NON) 7,291,964 ........................................................................................................................ 279,900 Reliant Energy, Inc. 4,730,310 ........................................................................................................................ 64,200 Sierra Pacific Resources 500,760 ------------------------------------------------------------------------------------------------------------------------ 19,838,935 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (0.4%) ........................................................................................................................ 48,300 Emerson Electric Co. 2,584,533 ------------------------------------------------------------------------------------------------------------------------ Electronics (2.3%) ........................................................................................................................ 4,200 Altera Corp. (NON) 57,120 ........................................................................................................................ 12,200 Analog Devices, Inc. (NON) 362,340 ........................................................................................................................ 369,500 Intel Corp. 6,750,765 ........................................................................................................................ 51,800 Linear Technology Corp. 1,628,074 ........................................................................................................................ 11,700 Marvell Technology Group, Ltd. (Bermuda) (NON) 232,713 ........................................................................................................................ 62,600 Maxim Integrated Products, Inc. (NON) 2,399,458 ........................................................................................................................ 76,000 Microchip Technology, Inc. (NON) 2,084,680 ........................................................................................................................ 21,900 Motorola, Inc. 315,798 ........................................................................................................................ 11,000 National Semiconductor Corp. (NON) 320,870 ........................................................................................................................ 69,500 Texas Instruments, Inc. 1,647,150 ------------------------------------------------------------------------------------------------------------------------ 15,798,968 ------------------------------------------------------------------------------------------------------------------------ Energy (1.0%) ........................................................................................................................ 13,400 Baker Hughes, Inc. 446,086 ........................................................................................................................ 48,300 BJ Services Co. (NON) 1,636,404 ........................................................................................................................ 130,900 GlobalSantaFe Corp. 3,580,115 ........................................................................................................................ 85,200 Halliburton Co. 1,358,088 ------------------------------------------------------------------------------------------------------------------------ 7,020,693 ------------------------------------------------------------------------------------------------------------------------ Financial (6.1%) ........................................................................................................................ 622,666 Citigroup, Inc. 24,128,308 ........................................................................................................................ 274,400 Freddie Mac 16,793,280 ------------------------------------------------------------------------------------------------------------------------ 40,921,588 ------------------------------------------------------------------------------------------------------------------------ Food (1.0%) ........................................................................................................................ 16,100 General Mills, Inc. 709,688 ........................................................................................................................ 5,400 Hershey Foods Corp. 337,500 ........................................................................................................................ 133,400 Kraft Foods, Inc. Class A 5,462,730 ------------------------------------------------------------------------------------------------------------------------ 6,509,918 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.5%) ........................................................................................................................ 14,700 Harrah's Entertainment, Inc. (NON) 651,945 ........................................................................................................................ 51,700 International Game Technology (NON) 2,931,390 ------------------------------------------------------------------------------------------------------------------------ 3,583,335 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (1.8%) ........................................................................................................................ 5,300 AdvancePCS (NON) 126,882 ........................................................................................................................ 11,100 Cardinal Health, Inc. 681,651 ........................................................................................................................ 66,000 HCA, Inc. 3,135,000 ........................................................................................................................ 4,400 Laboratory Corporation of America Holdings (NON) 200,860 ........................................................................................................................ 127,200 McKesson Corp. 4,159,440 ........................................................................................................................ 40,500 UnitedHealth Group, Inc. 3,707,775 ------------------------------------------------------------------------------------------------------------------------ 12,011,608 ------------------------------------------------------------------------------------------------------------------------ Insurance (3.1%) ........................................................................................................................ 116,400 ACE, Ltd. (Bermuda) 3,678,240 ........................................................................................................................ 187,300 American International Group, Inc. 12,779,479 ........................................................................................................................ 6,500 Loews Corp. - Carolina Group 175,825 ........................................................................................................................ 76,200 Radian Group, Inc. 3,722,370 ........................................................................................................................ 3,900 XL Capital, Ltd. Class A (Bermuda) 330,330 ------------------------------------------------------------------------------------------------------------------------ 20,686,244 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.7%) ........................................................................................................................ 10,400 Goldman Sachs Group, Inc. (The) 762,840 ........................................................................................................................ 4,100 Investment Technology Group, Inc. (NON) 134,070 ........................................................................................................................ 33,600 JPMorgan Chase & Co. 1,139,712 ........................................................................................................................ 35,450 Lehman Brothers Holdings, Inc. 2,216,334 ........................................................................................................................ 7,000 Merrill Lynch & Company, Inc. 283,500 ------------------------------------------------------------------------------------------------------------------------ 4,536,456 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.4%) ........................................................................................................................ 77,400 Marriott International, Inc. Class A 2,945,070 ------------------------------------------------------------------------------------------------------------------------ Machinery (1.5%) ........................................................................................................................ 40,100 Deere (John) & Co. 1,920,790 ........................................................................................................................ 71,569 Ingersoll-Rand Co. Class A (Bermuda) 3,267,841 ........................................................................................................................ 96,500 Parker-Hannifin Corp. 4,611,735 ------------------------------------------------------------------------------------------------------------------------ 9,800,366 ------------------------------------------------------------------------------------------------------------------------ Media (1.9%) ........................................................................................................................ 41,700 AOL Time Warner, Inc. (NON) 613,407 ........................................................................................................................ 103,300 Fox Entertainment Group, Inc. Class A (NON) 2,246,775 ........................................................................................................................ 135,600 Liberty Media Corp. Class A (NON) 1,356,000 ........................................................................................................................ 99,100 USA Networks, Inc. (NON) 2,323,895 ........................................................................................................................ 319,800 Walt Disney Co. (The) 6,044,220 ------------------------------------------------------------------------------------------------------------------------ 12,584,297 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (0.7%) ........................................................................................................................ 6,800 Baxter International, Inc. 302,260 ........................................................................................................................ 12,300 Cytyc Corp. (NON) 93,726 ........................................................................................................................ 54,200 Guidant Corp. (NON) 1,638,466 ........................................................................................................................ 58,400 Medtronic, Inc. 2,502,440 ------------------------------------------------------------------------------------------------------------------------ 4,536,892 ------------------------------------------------------------------------------------------------------------------------ Metals (0.4%) ........................................................................................................................ 11,000 AK Steel Holding Corp. (NON) 140,910 ........................................................................................................................ 16,500 Alcoa, Inc. 546,975 ........................................................................................................................ 118,400 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 2,113,440 ........................................................................................................................ 4,000 Inco, Ltd. (Canada) (NON) 90,560 ------------------------------------------------------------------------------------------------------------------------ 2,891,885 ------------------------------------------------------------------------------------------------------------------------ Office Equipment & Supplies (--%) ........................................................................................................................ 5,400 Pitney Bowes, Inc. 214,488 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (6.6%) ........................................................................................................................ 9,800 BP PLC ADR (United Kingdom) 494,802 ........................................................................................................................ 156,400 Burlington Resources, Inc. 5,943,200 ........................................................................................................................ 3,500 EOG Resources, Inc. 138,950 ........................................................................................................................ 680,209 Exxon Mobil Corp. 27,834,151 ........................................................................................................................ 3,800 Murphy Oil Corp. 313,500 ........................................................................................................................ 20,400 Ocean Energy, Inc. 442,068 ........................................................................................................................ 109,600 TotalFinaElf SA ADR (France) 8,866,640 ------------------------------------------------------------------------------------------------------------------------ 44,033,311 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (1.0%) ........................................................................................................................ 65,100 Boise Cascade Corp. 2,247,903 ........................................................................................................................ 73,000 Weyerhaeuser Co. 4,661,050 ------------------------------------------------------------------------------------------------------------------------ 6,908,953 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (10.0%) ........................................................................................................................ 121,300 Abbott Laboratories 4,566,945 ........................................................................................................................ 88,600 Allergan, Inc. 5,914,050 ........................................................................................................................ 6,400 Andrx Group (NON) 172,608 ........................................................................................................................ 5,700 Forest Laboratories, Inc. (NON) 403,560 ........................................................................................................................ 247,700 Johnson & Johnson 12,944,802 ........................................................................................................................ 104,800 King Pharmaceuticals, Inc. (NON) 2,331,800 ........................................................................................................................ 64,300 Lilly (Eli) & Co. 3,626,520 ........................................................................................................................ 3,900 Merck & Company, Inc. 197,496 ........................................................................................................................ 614,250 Pfizer, Inc. 21,498,750 ........................................................................................................................ 183,400 Pharmacia Corp. 6,868,330 ........................................................................................................................ 301,200 Schering-Plough Corp. 7,409,520 ........................................................................................................................ 2,300 Teva Pharmaceutical Industries, Ltd. ADR (Israel) 153,594 ........................................................................................................................ 22,600 Wyeth 1,157,120 ------------------------------------------------------------------------------------------------------------------------ 67,245,095 ------------------------------------------------------------------------------------------------------------------------ Publishing (0.2%) ........................................................................................................................ 16,200 Gannett Co., Inc. 1,229,580 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.8%) ........................................................................................................................ 90,700 Union Pacific Corp. 5,739,496 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.4%) ........................................................................................................................ 89,400 Equity Office Properties Trust (R) 2,690,940 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (2.7%) ........................................................................................................................ 17,500 BellSouth Corp. 551,250 ........................................................................................................................ 194,600 SBC Communications, Inc. 5,935,300 ........................................................................................................................ 287,200 Verizon Communications, Inc. 11,531,080 ------------------------------------------------------------------------------------------------------------------------ 18,017,630 ------------------------------------------------------------------------------------------------------------------------ Restaurants (0.8%) ........................................................................................................................ 12,400 Wendy's International, Inc. 493,892 ........................................................................................................................ 161,800 Yum! Brands, Inc. (NON) 4,732,650 ------------------------------------------------------------------------------------------------------------------------ 5,226,542 ------------------------------------------------------------------------------------------------------------------------ Retail (8.5%) ........................................................................................................................ 8,900 Albertsons, Inc. 271,094 ........................................................................................................................ 85,700 AutoZone, Inc. (NON) 6,624,610 ........................................................................................................................ 7,300 Best Buy Companies, Inc. (NON) 264,990 ........................................................................................................................ 68,231 Blockbuster, Inc. Class A 1,835,414 ........................................................................................................................ 13,800 Circuit City Stores-Circuit City Group 258,750 ........................................................................................................................ 14,000 Dollar Tree Stores, Inc. (NON) 551,740 ........................................................................................................................ 130,000 Family Dollar Stores, Inc. 4,582,500 ........................................................................................................................ 5,700 Federated Department Stores, Inc. (NON) 226,290 ........................................................................................................................ 20,400 Home Depot, Inc. (The) 749,292 ........................................................................................................................ 135,400 JC Penney Company, Inc. 2,981,508 ........................................................................................................................ 251,200 Kroger Co. (NON) 4,998,880 ........................................................................................................................ 157,800 Lowe's Companies, Inc. 7,164,120 ........................................................................................................................ 7,400 Michaels Stores, Inc. (NON) 288,600 ........................................................................................................................ 314,600 Office Depot, Inc. (NON) 5,285,280 ........................................................................................................................ 159,100 Staples, Inc. (NON) 3,134,270 ........................................................................................................................ 15,000 Target Corp. 571,500 ........................................................................................................................ 370,900 TJX Companies, Inc. (The) 7,273,349 ........................................................................................................................ 178,818 Wal-Mart Stores, Inc. 9,836,778 ------------------------------------------------------------------------------------------------------------------------ 56,898,965 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (0.1%) ........................................................................................................................ 11,874 KLA-Tencor Corp. (NON) 522,337 ------------------------------------------------------------------------------------------------------------------------ Software (6.8%) ........................................................................................................................ 22,600 Adobe Systems, Inc. 644,100 ........................................................................................................................ 236,600 BMC Software, Inc. (NON) 3,927,560 ........................................................................................................................ 217,300 Computer Associates International, Inc. 3,452,897 ........................................................................................................................ 50,244 Electronic Arts, Inc. (NON) 3,318,616 ........................................................................................................................ 6,400 Mercury Interactive Corp. (NON) 146,944 ........................................................................................................................ 473,000 Microsoft Corp. (NON) (SEG) 25,873,100 ........................................................................................................................ 17,100 Network Associates, Inc. (NON) 329,517 ........................................................................................................................ 389,100 Oracle Corp. (NON) 3,684,777 ........................................................................................................................ 24,800 Quest Software, Inc. (NON) 360,344 ........................................................................................................................ 157,400 Siebel Systems, Inc. (NON) 2,238,228 ........................................................................................................................ 51,500 Symantec Corp. (NON) 1,691,775 ------------------------------------------------------------------------------------------------------------------------ 45,667,858 ------------------------------------------------------------------------------------------------------------------------ Technology Services (1.1%) ........................................................................................................................ 49,900 Automatic Data Processing, Inc. 2,173,145 ........................................................................................................................ 53,300 Computer Sciences Corp. (NON) 2,547,740 ........................................................................................................................ 20,500 DST Systems, Inc. (NON) 937,055 ........................................................................................................................ 32,600 Electronic Data Systems Corp. 1,211,090 ........................................................................................................................ 11,200 Iron Mountain, Inc. (NON) 345,520 ........................................................................................................................ 28,100 Unisys Corp. (NON) 252,900 ------------------------------------------------------------------------------------------------------------------------ 7,467,450 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.8%) ........................................................................................................................ 251,400 AT&T Corp. 2,689,980 ........................................................................................................................ 191,900 AT&T Wireless Services, Inc. (NON) 1,122,615 ........................................................................................................................ 439,300 Qwest Communications International, Inc. (NON) 1,230,040 ------------------------------------------------------------------------------------------------------------------------ 5,042,635 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.5%) ........................................................................................................................ 80,800 Jones Apparel Group, Inc. (NON) 3,030,000 ------------------------------------------------------------------------------------------------------------------------ Tobacco (2.2%) ........................................................................................................................ 332,900 Philip Morris Companies, Inc. 14,541,072 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.3%) ........................................................................................................................ 79,600 Waste Management, Inc. 2,073,580 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $685,882,739) $658,803,604 ------------------------------------------------------------------------------------------------------------------------ UNITS (0.2%) (a) (NON) (cost $1,459,679) ------------------------------------------------------------------------------------------------------------------------ Number of Units Value ........................................................................................................................ 21,992 Lehman Brothers Holdings, Inc. 144A Structured Warrants (issued by Lehman Brothers Finance SA) expiration 09/03/02 $1,380,438 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (0.7%) (a) (cost $4,253,405) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $4,471,720 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $4,469,003 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $691,811,421) (b) $664,653,045 ------------------------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Expiration Unrealized Market Value Face Value Date Depreciation .............................................................................. S&P 500 Index (Long) $7,425,750 $7,436,671 Sep-02 $(10,921) ------------------------------------------------------------------------------ Written Options at June 30, 2002 (Unaudited) (premiums received $26,519) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amounts Strike Price Value .............................................................................. 12,700 Adobe System, Inc. (Put) July 02/ 24.75 USD $8,353 .............................................................................. 8,069 Blockbuster (Put) July 02/ 29.38 USD 20,414 .............................................................................. $28,767 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Money Market Fund The fund's portfolio June 30, 2002 (Unaudited) COMMERCIAL PAPER (81.6%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Maturity Date Value ........................................................................................................................ Domestic (57.3%) ........................................................................................................................ $5,000,000 Abbey National North America, LLC 2.19s 8/30/02 $4,981,446 ........................................................................................................................ 6,900,000 Abbey National North America, LLC 1.81s 8/30/02 6,878,838 ........................................................................................................................ 5,500,000 Abbott Laboratories 1.76s 7/16/02 5,495,698 ........................................................................................................................ 4,200,000 Abbott Laboratories 1.76s 7/2/02 4,199,589 ........................................................................................................................ 9,000,000 American General Finance Corp. 1.77s 7/23/02 8,989,823 ........................................................................................................................ 2,730,000 Asset Securitization Cooperative Corp. 1.84s 7/17/02 2,727,679 ........................................................................................................................ 2,500,000 Asset Securitization Cooperative Corp. 1.78s 7/12/02 2,498,467 ........................................................................................................................ 5,000,000 B-One Australia, Ltd. 1.8s 9/17/02 4,980,250 ........................................................................................................................ 5,000,000 BNP Paribas Finance, Inc. 2.02s 9/30/02 4,974,189 ........................................................................................................................ 15,000,000 Chevron Corp. 1.8s 8/9/02 14,970,000 ........................................................................................................................ 10,000,000 Citicorp 1.78s 7/11/02 9,994,561 ........................................................................................................................ 6,500,000 Credit Suisse First Boston USA, Inc. 2.14s 9/16/02 6,469,862 ........................................................................................................................ 7,000,000 CXC, Inc. 2.24s 9/12/02 6,967,769 ........................................................................................................................ 6,923,000 Dexia Delaware, LLC 1.78s 7/3/02 6,921,973 ........................................................................................................................ 10,000,000 Eureka Securitization 1.81s 8/2/02 9,983,408 ........................................................................................................................ 4,249,000 Eureka Securitization 1.8s 7/1/02 4,248,788 ........................................................................................................................ 6,206,000 Falcon Asset Securitization Corp. 2.24s 9/20/02 6,174,336 ........................................................................................................................ 8,000,000 Falcon Asset Securitization Corp. 1.88s 7/15/02 7,993,733 ........................................................................................................................ 3,595,000 Falcon Asset Securitization Corp. 1.86s 10/3/02 3,577,355 ........................................................................................................................ 5,000,000 Falcon Asset Securitization Corp. 1.81s 8/2/02 4,991,704 ........................................................................................................................ 12,627,000 Falcon Asset Securitization Corp. 1.79s 7/11/02 12,620,094 ........................................................................................................................ 4,225,000 Federal Home Loan Mortgage Association 2.32s 9/25/02 4,201,312 ........................................................................................................................ 14,000,000 Federal Home Loan Mortgage Association 2.04s 8/28/02 13,953,193 ........................................................................................................................ 10,000,000 Federal Home Loan Mortgage Association 1.91s 12/27/02 9,904,500 ........................................................................................................................ 10,000,000 Federal Home Loan Mortgage Association 1.84s 7/31/02 9,984,156 ........................................................................................................................ 4,000,000 Federal Home Loan Mortgage Association 1.73s 8/30/02 3,988,274 ........................................................................................................................ 12,500,000 Federal Home Loan Mortgage Association 1.71s 8/16/02 12,472,094 ........................................................................................................................ 4,000,000 Florens Containers, Inc. (Bank of America NT & SA Letter of Credit (LOC)) 1.84s 7/26/02 3,994,684 ........................................................................................................................ 4,000,000 Florens Containers, Inc. (Bank of America NT & SA (LOC)) 1.84s 7/25/02 3,994,889 ........................................................................................................................ 10,000,000 General Electric Capital Corp. 2.19s 8/14/02 9,972,625 ........................................................................................................................ 6,000,000 General Electric Capital International Fund 1.94s 7/9/02 5,997,090 ........................................................................................................................ 9,000,000 General Electric Capital International Fund 1.82s 8/15/02 8,979,070 ........................................................................................................................ 12,000,000 General Electric Capital International Fund 1.8s 9/27/02 11,946,600 ........................................................................................................................ 10,000,000 Goldman Sachs Group 2.02s 11/4/02 9,928,739 ........................................................................................................................ 5,000,000 ING America Insurance Holdings 1.83s 9/13/02 4,980,937 ........................................................................................................................ 7,000,000 International Lease Finance Corp. 1.82s 8/9/02 6,985,844 ........................................................................................................................ 10,000,000 JPMorgan Chase & Co. 2s 9/16/02 9,956,667 ........................................................................................................................ 6,000,000 Jupiter Securitization Corp. 1.83s 9/3/02 5,980,175 ........................................................................................................................ 8,000,000 Jupiter Securitization Corp. 1.83s 7/31/02 7,987,393 ........................................................................................................................ 5,000,000 Jupiter Securitization Corp. 1.82s 8/19/02 4,987,361 ........................................................................................................................ 7,512,000 Jupiter Securitization Corp. 1.81s 8/29/02 7,489,339 ........................................................................................................................ 6,000,000 Jupiter Securitization Corp. 1.79s 7/2/02 5,999,403 ........................................................................................................................ 11,830,000 Michelin North America, Inc. (Societe Generale (LOC)) 1.8s 7/17/02 11,819,945 ........................................................................................................................ 3,500,000 NATC California, LLC (Chase Manhattan Bank (LOC)) 1.85s 7/22/02 3,496,043 ........................................................................................................................ 3,000,000 NATC California, LLC (Chase Manhattan Bank (LOC)) 1.84s 7/24/02 2,996,320 ........................................................................................................................ 13,000,000 Nordea North America, Inc. 2s 8/8/02 12,971,833 ........................................................................................................................ 5,000,000 Nordea North America, Inc. 1.85s 7/12/02 4,996,917 ........................................................................................................................ 5,694,000 Old Line Funding Corp. 1.81s 8/26/02 5,677,772 ........................................................................................................................ 6,900,000 Old Line Funding Corp. 1.81s 8/16/02 6,883,695 ........................................................................................................................ 4,583,000 Old Line Funding Corp. 1.81s 8/6/02 4,574,474 ........................................................................................................................ 16,144,000 Old Line Funding Corp. 1.79s 7/8/02 16,137,558 ........................................................................................................................ 8,000,000 Park Avenue Receivables Corp. 1.8s 7/15/02 7,994,000 ........................................................................................................................ 3,930,000 Preferred Receivables Funding Corp. 1.8s 7/19/02 3,926,266 ........................................................................................................................ 4,698,000 Quincy Capital Corp. 1.85s 7/18/02 4,693,654 ........................................................................................................................ 10,000,000 Quincy Capital Corp. 1.81s 8/1/02 9,983,911 ........................................................................................................................ 2,289,000 Quincy Capital Corp. 1.81s 7/22/02 2,286,468 ........................................................................................................................ 9,019,000 Receivables Capital Corp. 1.8s 8/29/02 8,991,943 ........................................................................................................................ 5,000,000 Receivables Capital Corp. 1.8s 7/18/02 4,995,500 ........................................................................................................................ 15,000,000 Salomon Smith Barney Holding, Inc. 1.78s 7/29/02 14,978,492 ........................................................................................................................ 5,000,000 Salomon Smith Barney Holding, Inc. 1.79s 7/17/02 4,995,774 ........................................................................................................................ 11,900,000 Sheffield Receivables Corp. 2.26s 7/19/02 11,885,806 ........................................................................................................................ 7,590,000 Sheffield Receivables Corp. 1.82s 7/12/02 7,585,395 ........................................................................................................................ 8,112,000 Sheffield Receivables Corp. 1.82s 7/2/02 8,111,177 ........................................................................................................................ 9,400,000 Stadshypotek Delaware, Inc. 1.98s 8/30/02 9,368,463 ........................................................................................................................ 6,963,000 Thunder Bay Funding, Inc. 1.84s 7/15/02 6,957,662 ........................................................................................................................ 8,400,000 Thunder Bay Funding, Inc. 1.82s 9/3/02 8,372,397 ........................................................................................................................ 5,000,000 Thunder Bay Funding, Inc. 1.82s 7/1/02 4,999,747 ........................................................................................................................ 3,015,000 Thunder Bay Funding, Inc. 1.8s 9/16/02 3,003,242 ........................................................................................................................ 4,035,000 Thunder Bay Funding, Inc. 1.8s 7/16/02 4,031,772 ........................................................................................................................ 3,049,000 Thunder Bay Funding, Inc. 1.8s 7/10/02 3,047,475 ........................................................................................................................ 18,000,000 UBS Finance (Delaware), LLC 2s 7/1/02 17,997,000 ........................................................................................................................ 3,000,000 Westpac Capital Corp. 1.88s 7/10/02 2,998,433 ........................................................................................................................ 6,000,000 Windmill Funding Corp. 1.85s 7/3/02 5,999,075 ........................................................................................................................ 4,000,000 Windmill Funding Corp. 1.82s 7/3/02 3,999,393 ........................................................................................................................ 5,000,000 Windmill Funding Corp. 1.81s 7/30/02 4,992,500 ........................................................................................................................ 5,500,000 Windmill Funding Corp. 1.8s 7/25/02 5,493,125 ------------------------------------------------------------------------------------------------------------------------ 545,567,134 ------------------------------------------------------------------------------------------------------------------------ Foreign (24.3%) ........................................................................................................................ 7,000,000 Abbey National Treasury Services PLC 2.59s (United Kingdom) 3/31/03 7,000,000 ........................................................................................................................ 7,000,000 Bank of Nova Scotia 1.87s (Canada) 12/23/02 6,998,973 ........................................................................................................................ 7,000,000 Barclays Bank PLC 1.88s (United Kingdom) 7/15/02 7,000,085 ........................................................................................................................ 5,000,000 Bayerische Hypo-Vereinsbank AG 3.63s (Germany) 8/20/02 5,000,051 ........................................................................................................................ 9,000,000 Bayerische Hypo-Vereinsbank AG 2.65s (Germany) 11/29/02 9,000,000 ........................................................................................................................ 11,000,000 Canadian Imperial Bank of Commerce 2.105s (Canada) 12/31/02 11,010,639 ........................................................................................................................ 7,000,000 Canadian Imperial Bank of Commerce 2.02s (Canada) 12/16/02 6,997,404 ........................................................................................................................ 7,000,000 Canadian Imperial Bank of Commerce 1.94s (Canada) 9/3/02 6,999,251 ........................................................................................................................ 9,000,000 Credit Suisse First Boston 2s (Switzerland) 9/25/02 9,000,000 ........................................................................................................................ 10,000,000 Danske Bank A/S 2.01s (Denmark) 9/3/02 9,963,708 ........................................................................................................................ 6,000,000 Den Norske Bank 1.87s (Norway) 7/5/02 5,998,442 ........................................................................................................................ 9,000,000 Deutsche Bank AG 2.3s (Germany) 12/30/02 8,991,025 ........................................................................................................................ 6,000,000 Deutsche Bank AG 1.87s (Germany) 8/30/02 6,000,101 ........................................................................................................................ 2,000,000 Dresdner Bank AG 2.3s (Germany) 1/24/03 1,994,816 ........................................................................................................................ 7,000,000 Dresdner Bank AG 1.94s (Germany) 9/9/02 6,999,004 ........................................................................................................................ 4,500,000 Forenings Sparbanken AB (Swedbank) 1.95s (Sweden) 8/19/02 4,487,812 ........................................................................................................................ 9,000,000 Halifax PLC 1.89s (United Kingdom) 8/27/02 9,000,000 ........................................................................................................................ 5,000,000 PEMEX Capital, Inc. (Barclays Bank PLC (LOC)) 1.91s (Mexico) 8/7/02 4,989,919 ........................................................................................................................ 6,000,000 Shell Finance B.V. 1.94s (Netherlands) 11/6/02 5,958,290 ........................................................................................................................ 7,000,000 Shell Finance PLC 1.85s (United Kingdom) 8/16/02 6,983,093 ........................................................................................................................ 6,000,000 Shell Finance PLC 1.85s (United Kingdom) 8/12/02 5,986,742 ........................................................................................................................ 9,400,000 Shell Finance PLC 1.83s (United Kingdom) 8/21/02 9,375,313 ........................................................................................................................ 4,100,000 Shell Finance PLC 1.78s (United Kingdom) 9/20/02 4,083,377 ........................................................................................................................ 15,000,000 Societe Generale 1.86s (France) 12/23/02 14,863,600 ........................................................................................................................ 7,000,000 Spintab AB 1.84s (Sweden) 10/9/02 6,964,061 ........................................................................................................................ 9,400,000 Spintab AB 1.83s (Sweden) 9/30/02 9,356,039 ........................................................................................................................ 10,000,000 Svenska Handelsbanken, Inc. 1.85s (Sweden) 7/10/02 9,995,000 ........................................................................................................................ 10,000,000 Svenska Handelsbanken, Inc. 1.8s (Sweden) 7/1/02 9,999,500 ........................................................................................................................ 7,000,000 UBS AG 1.94s (Switzerland) 8/5/02 7,000,069 ........................................................................................................................ 6,000,000 Westdeutsche Landesbank Girozentrale 2.23s (Germany) 8/16/02 5,982,532 ........................................................................................................................ 7,000,000 Westpac Banking Corp. 2.1s (Australia) 9/9/02 6,971,008 ------------------------------------------------------------------------------------------------------------------------ 230,949,854 ------------------------------------------------------------------------------------------------------------------------ Total Commercial Paper (cost $776,516,988) $776,516,988 ------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES (12.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $5,000,000 Chase Manhattan Corp. sr. notes FRN Ser. C, 1.95s, 2002 $5,001,005 ........................................................................................................................ 13,000,000 Credit Suisse First Boston USA, Inc. FRN Ser. MTN, 1.91s, 2002 13,000,000 ........................................................................................................................ 5,000,000 Fleet Boston Financial Corp. sr. notes FRN Ser. N, 2.24s, 2002 5,001,072 ........................................................................................................................ 10,000,000 Goldman Sachs & Co. 144A FRB 1.824s, 2003 10,000,000 ........................................................................................................................ 10,000,000 Goldman Sachs & Co. 144A FRB 1.82s, 2003 10,000,000 ........................................................................................................................ 24,000,000 Mercantile Bancorp. sub. notes 7 5/8s, 2002 24,322,772 ........................................................................................................................ 5,500,000 Merrill Lynch & Company, Inc. FRN Ser. B, 2.099s, 2003 5,506,498 ........................................................................................................................ 10,000,000 Merrill Lynch & Company, Inc. FRN Ser. B, 1.82s, 2003 10,000,000 ........................................................................................................................ 6,000,000 Merrill Lynch & Company, Inc. FRN Ser. B, 1.82s, 2003 6,000,000 ........................................................................................................................ 7,000,000 Merrill Lynch & Company, Inc. FRN Ser. B, 1.82s, 2002 7,000,000 ........................................................................................................................ 6,000,000 Merrill Lynch & Company, Inc. FRN Ser. B, 1.81s, 2003 5,999,353 ........................................................................................................................ 6,000,000 Swedbank (New York) dep. notes FRN Ser. YCD, 1.794s, 2002 5,998,687 ........................................................................................................................ 14,000,000 US Bank NA bank term loan 2.14s, 2002 14,000,000 ------------------------------------------------------------------------------------------------------------------------ Total Corporate Bonds and Notes (cost $121,829,387) $121,829,387 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (5.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $25,000,000 Interest in $354,000,000 joint tri-party repurchase agreement dated June 28, 2002 with Goldman Sachs & Co. due July 1, 2002 with respect to various U.S. Government obligations -- maturity value of $25,004,104 for an effective yield of 1.97% $25,000,000 ........................................................................................................................ 25,792,000 Interest in $380,000,000 joint tri-party repurchase agreement dated June 28, 2002 with S.B.C. Warburg Securities, Inc. due July 1, 2002 with respect to various U.S. Government obligations -- maturity value of $25,796,234 for an effective yield of 1.97% 25,792,000 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $50,792,000) $50,792,000 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $949,138,375) (b) $949,138,375 ------------------------------------------------------------------------------------------------------------------------
Diversification by Country ------------------------------------------------------------------------------ Distribution of investments by country of issue at June 30, 2002: (as a percentage of Market Value) ------------------------------------------------------------------------------ Australia 1.1% .............................................................................. Canada 3.4 .............................................................................. Denmark 1.0 .............................................................................. France 1.6 .............................................................................. Germany 4.6 .............................................................................. Mexico 0.5 .............................................................................. Netherlands 0.6 .............................................................................. Norway 0.6 .............................................................................. Sweden 4.3 .............................................................................. Switzerland 1.7 .............................................................................. United Kingdom 5.2 .............................................................................. United States 75.4 ------------------------------------------------------------------------------ Total 100.0% ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT New Opportunities Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (99.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Aerospace and Defense (0.3%) ........................................................................................................................ 47,600 L-3 Communications Holdings, Inc. (NON) $2,570,400 ........................................................................................................................ 38,580 Northrop Grumman Corp. 4,822,500 ------------------------------------------------------------------------------------------------------------------------ 7,392,900 ------------------------------------------------------------------------------------------------------------------------ Airlines (1.5%) ........................................................................................................................ 976,000 Ryanair Holdings PLC ADR (Ireland) (NON) 34,034,096 ------------------------------------------------------------------------------------------------------------------------ Automotive (0.3%) ........................................................................................................................ 46,200 Advance Auto Parts, Inc. (NON) 2,518,362 ........................................................................................................................ 33,400 Johnson Controls, Inc. 2,725,774 ........................................................................................................................ 31,000 Lear Corp. (NON) 1,433,750 ------------------------------------------------------------------------------------------------------------------------ 6,677,886 ------------------------------------------------------------------------------------------------------------------------ Banking (4.5%) ........................................................................................................................ 185,580 Bank of New York Company, Inc. (The) 6,263,325 ........................................................................................................................ 49,700 Charter One Financial, Inc. 1,708,686 ........................................................................................................................ 59,800 Fifth Third Bancorp 3,985,670 ........................................................................................................................ 112,700 Greater Bay Bancorp 3,466,652 ........................................................................................................................ 81,700 Greenpoint Financial Corp. 4,011,470 ........................................................................................................................ 72,200 Investors Financial Services Corp. 2,421,588 ........................................................................................................................ 40,900 M&T Bank Corp. 3,507,584 ........................................................................................................................ 601,700 National Commerce Financial Corp. 15,824,710 ........................................................................................................................ 132,200 New York Community Bancorp, Inc. 3,527,096 ........................................................................................................................ 339,800 North Fork Bancorporation, Inc. 13,527,438 ........................................................................................................................ 122,200 South Trust Corp. 3,191,864 ........................................................................................................................ 615,100 TCF Financial Corp. 30,201,410 ........................................................................................................................ 273,900 Zions Bancorporation 14,270,190 ------------------------------------------------------------------------------------------------------------------------ 105,907,683 ------------------------------------------------------------------------------------------------------------------------ Beverage (0.8%) ........................................................................................................................ 69,600 Anheuser-Busch Companies, Inc. 3,480,000 ........................................................................................................................ 46,500 Coca-Cola Co. (The) 2,604,000 ........................................................................................................................ 154,800 Pepsi Bottling Group, Inc. (The) 4,767,840 ........................................................................................................................ 150,960 PepsiCo, Inc. 7,276,272 ------------------------------------------------------------------------------------------------------------------------ 18,128,112 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (4.3%) ........................................................................................................................ 75,300 Abgenix, Inc. (NON) 737,940 ........................................................................................................................ 53,100 Affymetrix, Inc. (NON) 1,273,869 ........................................................................................................................ 146,300 Amgen, Inc. (NON) 6,127,044 ........................................................................................................................ 161,000 Applera Corporation-Applied Biosystems Group 3,137,890 ........................................................................................................................ 406,100 Celgene Corp. (NON) 6,213,330 ........................................................................................................................ 32,200 Chiron Corp. (NON) 1,138,270 ........................................................................................................................ 177,100 Genzyme Corp. (NON) 3,407,404 ........................................................................................................................ 597,200 Gilead Sciences, Inc. (NON) 19,635,936 ........................................................................................................................ 394,550 IDEC Pharmaceuticals Corp. (NON) 13,986,798 ........................................................................................................................ 59,000 IDEXX Laboratories, Inc. (NON) 1,521,610 ........................................................................................................................ 153,500 Immunex Corp. (NON) 3,429,190 ........................................................................................................................ 88,700 InterMune, Inc. (NON) 1,871,570 ........................................................................................................................ 322,700 Invitrogen Corp. (NON) 10,329,627 ........................................................................................................................ 112,300 Ligand Pharmaceuticals, Inc. Class B (acquired 4/16/02, cost $1,830,490)(NON) (RES) 1,465,515 ........................................................................................................................ 824,600 MedImmune, Inc. (NON) 21,769,440 ........................................................................................................................ 85,500 Protein Design Labs, Inc. (NON) 928,530 ........................................................................................................................ 117,400 QIAGEN NV (Netherlands) (NON) 1,367,710 ........................................................................................................................ 85,400 Scios, Inc. (NON) 2,614,094 ........................................................................................................................ 20,800 Trimeris, Inc. (NON) 923,312 ------------------------------------------------------------------------------------------------------------------------ 101,879,079 ------------------------------------------------------------------------------------------------------------------------ Capital Goods (0.1%) ........................................................................................................................ 26,600 Eaton Corp. 1,935,150 ------------------------------------------------------------------------------------------------------------------------ Chemicals (0.1%) ........................................................................................................................ 37,800 Praxair, Inc. 2,153,466 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (3.3%) ........................................................................................................................ 537,600 CDW Computer Centers, Inc. (NON) 25,165,056 ........................................................................................................................ 168,667 Choicepoint, Inc. (NON) 7,669,273 ........................................................................................................................ 332,700 Cintas Corp. 16,445,361 ........................................................................................................................ 86,400 eBay, Inc. (NON) 5,323,968 ........................................................................................................................ 83,500 Ecolab, Inc. 3,860,205 ........................................................................................................................ 161,600 Paychex, Inc. 5,056,464 ........................................................................................................................ 174,400 Robert Half International, Inc. (NON) 4,063,520 ........................................................................................................................ 252,100 TMP Worldwide, Inc. (NON) 5,420,150 ........................................................................................................................ 122,100 Weight Watchers International, Inc. (NON) 5,304,024 ------------------------------------------------------------------------------------------------------------------------ 78,308,021 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (1.3%) ........................................................................................................................ 912,720 Cisco Systems, Inc. (NON) 12,732,444 ........................................................................................................................ 638,700 Extreme Networks, Inc. (NON) 6,444,483 ........................................................................................................................ 137,580 Nokia OYJ ADR (Finland) 1,992,158 ........................................................................................................................ 302,200 Polycom, Inc. (NON) 3,623,378 ........................................................................................................................ 109,120 QUALCOMM, Inc. (NON) 2,999,709 ........................................................................................................................ 1,658,900 Sonus Networks, Inc. (NON) 3,350,978 ------------------------------------------------------------------------------------------------------------------------ 31,143,150 ------------------------------------------------------------------------------------------------------------------------ Computer Services (3.5%) ........................................................................................................................ 370,700 Affiliated Computer Services, Inc. Class A (NON) 17,600,836 ........................................................................................................................ 661,400 BISYS Group, Inc. (The) (NON) 22,024,620 ........................................................................................................................ 116,700 Concord EFS, Inc. (NON) 3,517,338 ........................................................................................................................ 150,700 Convergys Corp. (NON) 2,935,636 ........................................................................................................................ 162,900 DST Systems, Inc. (NON) 7,446,159 ........................................................................................................................ 225,750 Fiserv, Inc. (NON) 8,287,283 ........................................................................................................................ 148,100 Jack Henry & Associates, Inc. 2,471,789 ........................................................................................................................ 156,600 KPMG Consulting, Inc. (NON) 2,327,076 ........................................................................................................................ 582,300 SunGard Data Systems, Inc. (NON) 15,419,304 ------------------------------------------------------------------------------------------------------------------------ 82,030,041 ------------------------------------------------------------------------------------------------------------------------ Computers (0.7%) ........................................................................................................................ 224,300 Lexmark International, Inc. (NON) 12,201,920 ........................................................................................................................ 180,300 Mentor Graphics Corp. (NON) 2,563,866 ........................................................................................................................ 243,000 Symbol Technologies, Inc. 2,065,500 ------------------------------------------------------------------------------------------------------------------------ 16,831,286 ------------------------------------------------------------------------------------------------------------------------ Computers -- Hardware (3.4%) ........................................................................................................................ 242,000 Brocade Communications Systems, Inc. (NON) 4,230,160 ........................................................................................................................ 487,380 Dell Computer Corp. (NON) 12,740,113 ........................................................................................................................ 168,500 EMC Corp. (NON) 1,272,175 ........................................................................................................................ 483,600 Emulex Corp. (NON) 10,885,836 ........................................................................................................................ 216,720 Hewlett-Packard Co. 3,311,482 ........................................................................................................................ 104,380 IBM Corp. 7,515,360 ........................................................................................................................ 110,100 McDATA Corp. Class A (NON) 969,981 ........................................................................................................................ 1,033,600 Network Appliance, Inc. (NON) 12,857,984 ........................................................................................................................ 712,300 QLogic Corp. (NON) 27,138,630 ------------------------------------------------------------------------------------------------------------------------ 80,921,721 ------------------------------------------------------------------------------------------------------------------------ Computers -- Software and Services (0.1%) ........................................................................................................................ 241,700 VeriSign, Inc. (NON) 1,737,823 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (1.3%) ........................................................................................................................ 886,940 General Electric Co. 25,765,607 ........................................................................................................................ 314,640 Tyco International, Ltd. (Bermuda) 4,250,786 ------------------------------------------------------------------------------------------------------------------------ 30,016,393 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (1.7%) ........................................................................................................................ 422,500 AmeriCredit Corp. (NON) 11,851,125 ........................................................................................................................ 458,500 Capital One Financial Corp. 27,991,425 ........................................................................................................................ 119,600 Metris Companies, Inc. 993,876 ------------------------------------------------------------------------------------------------------------------------ 40,836,426 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (0.5%) ........................................................................................................................ 40,400 Alberto-Culver Co. Class B 1,931,120 ........................................................................................................................ 66,800 Clorox Co. 2,762,180 ........................................................................................................................ 84,360 Colgate-Palmolive Co. 4,222,218 ........................................................................................................................ 46,700 Newell Rubbermaid, Inc. 1,637,302 ------------------------------------------------------------------------------------------------------------------------ 10,552,820 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (0.1%) ........................................................................................................................ 54,800 Progress Energy, Inc. 2,850,148 ------------------------------------------------------------------------------------------------------------------------ Electronics (8.6%) ........................................................................................................................ 156,800 Applied Micro Circuits Corp. (NON) 741,664 ........................................................................................................................ 520,700 Broadcom Corp. Class A (NON) 9,133,078 ........................................................................................................................ 550,300 Celestica, Inc. (Canada) (NON) 12,497,313 ........................................................................................................................ 57,100 FEI Co. (NON) 1,399,521 ........................................................................................................................ 717,000 Integrated Device Technology, Inc. (NON) 13,006,380 ........................................................................................................................ 922,120 Intel Corp. 16,847,132 ........................................................................................................................ 248,400 Intersil Corp. Class A (NON) 5,310,792 ........................................................................................................................ 274,400 Jabil Circuit, Inc. (NON) 5,792,584 ........................................................................................................................ 642,600 Linear Technology Corp. 20,196,918 ........................................................................................................................ 298,500 LSI Logic Corp. (NON) 2,611,875 ........................................................................................................................ 1,188,800 Marvell Technology Group, Ltd. (Bermuda) (NON) 23,645,232 ........................................................................................................................ 835,700 Maxim Integrated Products, Inc. (NON) 32,032,381 ........................................................................................................................ 576,200 Micrel, Inc. (NON) 8,285,756 ........................................................................................................................ 494,050 Microchip Technology, Inc. (NON) 13,551,792 ........................................................................................................................ 774,600 PMC - Sierra, Inc. (NON) 7,180,542 ........................................................................................................................ 768,400 RF Micro Devices, Inc. (NON) 5,855,208 ........................................................................................................................ 544,000 Semtech Corp. (NON) 14,524,800 ........................................................................................................................ 77,900 Silicon Laboratories, Inc. (NON) 2,180,421 ........................................................................................................................ 80,800 Skyworks Solutions, Inc. (NON) 448,440 ........................................................................................................................ 281,800 Xilinx, Inc. (NON) 6,320,774 ------------------------------------------------------------------------------------------------------------------------ 201,562,603 ------------------------------------------------------------------------------------------------------------------------ Energy (3.9%) ........................................................................................................................ 434,200 BJ Services Co. (NON) 14,710,696 ........................................................................................................................ 59,700 Cooper Cameron Corp. (NON) 2,890,674 ........................................................................................................................ 105,000 Diamond Offshore Drilling, Inc. 2,992,500 ........................................................................................................................ 407,300 ENSCO International, Inc. 11,102,998 ........................................................................................................................ 553,162 GlobalSantaFe Corp. 15,128,981 ........................................................................................................................ 465,200 Nabor Industries, Ltd. (Barbardos) (NON) 16,421,560 ........................................................................................................................ 328,200 National-Oilwell, Inc. (NON) 6,908,610 ........................................................................................................................ 304,200 Patterson-UTI Energy, Inc. (NON) 8,587,566 ........................................................................................................................ 71,000 Smith International, Inc. (NON) 4,841,490 ........................................................................................................................ 66,700 Transocean Sedco Forex, Inc. 2,077,705 ........................................................................................................................ 116,000 Weatherford Intl., Ltd. (NON) 5,011,200 ------------------------------------------------------------------------------------------------------------------------ 90,673,980 ------------------------------------------------------------------------------------------------------------------------ Financial (1.1%) ........................................................................................................................ 169,140 Citigroup, Inc. 6,554,175 ........................................................................................................................ 172,659 Fannie Mae 12,733,601 ........................................................................................................................ 59,400 SLM Corp. 5,755,860 ------------------------------------------------------------------------------------------------------------------------ 25,043,636 ------------------------------------------------------------------------------------------------------------------------ Food (0.5%) ........................................................................................................................ 115,020 Kraft Foods, Inc. Class A 4,710,069 ........................................................................................................................ 247,500 Krispy Kreme Doughnuts, Inc. (NON) 7,967,025 ------------------------------------------------------------------------------------------------------------------------ 12,677,094 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (1.4%) ........................................................................................................................ 359,000 Harrah's Entertainment, Inc. (NON) 15,921,650 ........................................................................................................................ 247,600 International Game Technology (NON) 14,038,920 ........................................................................................................................ 61,700 MGM Mirage, Inc. (NON) 2,082,375 ------------------------------------------------------------------------------------------------------------------------ 32,042,945 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (8.0%) ........................................................................................................................ 509,100 AdvancePCS (NON) 12,187,854 ........................................................................................................................ 395,924 AmerisourceBergen Corp. 30,090,224 ........................................................................................................................ 214,100 Anthem, Inc. (NON) 14,447,468 ........................................................................................................................ 40,300 Cardinal Health, Inc. 2,474,823 ........................................................................................................................ 1,183,600 Caremark Rx, Inc. (NON) 19,529,400 ........................................................................................................................ 452,300 Community Health Systems, Inc. (NON) 12,121,640 ........................................................................................................................ 206,500 Express Scripts, Inc. Class A (NON) 10,347,715 ........................................................................................................................ 178,640 HCA, Inc. 8,485,400 ........................................................................................................................ 750,500 Health Management Assoc., Inc. (NON) 15,122,575 ........................................................................................................................ 136,500 Health Net, Inc. (NON) 3,654,105 ........................................................................................................................ 385,400 Laboratory Corporation of America Holdings (NON) 17,593,510 ........................................................................................................................ 244,200 Quest Diagnostics, Inc. (NON) 21,013,410 ........................................................................................................................ 63,300 Trigon Healthcare, Inc. (NON) 6,366,714 ........................................................................................................................ 137,760 UnitedHealth Group, Inc. 12,611,928 ........................................................................................................................ 28,300 Universal Health Services, Inc. Class B (NON) 1,386,700 ------------------------------------------------------------------------------------------------------------------------ 187,433,466 ------------------------------------------------------------------------------------------------------------------------ Insurance (1.6%) ........................................................................................................................ 58,200 ACE, Ltd. (Bermuda) 1,839,120 ........................................................................................................................ 46,600 AMBAC Financial Group, Inc. 3,131,520 ........................................................................................................................ 219,000 American International Group, Inc. 14,942,370 ........................................................................................................................ 31,800 Everest Re Group, Ltd. (Barbardos) 1,779,210 ........................................................................................................................ 59,100 Gallagher, Arthur J. & Co. 2,047,815 ........................................................................................................................ 34,200 Progressive Corp. (The) 1,978,470 ........................................................................................................................ 299,000 Willis Group Holdings, Ltd. (United Kingdom) (NON) 9,840,090 ........................................................................................................................ 34,860 XL Capital, Ltd. Class A (Bermuda) 2,952,642 ------------------------------------------------------------------------------------------------------------------------ 38,511,237 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (1.5%) ........................................................................................................................ 20,900 Affiliated Managers Group (NON) 1,285,350 ........................................................................................................................ 38,800 Bear Stearns Companies, Inc. (The) 2,374,560 ........................................................................................................................ 478,200 Charles Schwab Corp. (The) 5,355,840 ........................................................................................................................ 126,700 Federated Investors, Inc. 4,380,019 ........................................................................................................................ 221,300 Franklin Resources, Inc. 9,436,232 ........................................................................................................................ 58,700 Investment Technology Group, Inc. (NON) 1,919,490 ........................................................................................................................ 30,600 Legg Mason, Inc. 1,509,804 ........................................................................................................................ 146,280 Merrill Lynch & Company, Inc. 5,924,340 ........................................................................................................................ 54,000 T Rowe Price Group, Inc. 1,775,520 ------------------------------------------------------------------------------------------------------------------------ 33,961,155 ------------------------------------------------------------------------------------------------------------------------ Leisure (0.2%) ........................................................................................................................ 69,300 Harley-Davidson, Inc. 3,553,011 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.5%) ........................................................................................................................ 312,180 Cendant Corp. (NON) 4,957,418 ........................................................................................................................ 105,930 Four Seasons Hotels, Inc. (Canada) 4,968,117 ........................................................................................................................ 155,100 Host Marriott Corp. 1,752,630 ------------------------------------------------------------------------------------------------------------------------ 11,678,165 ------------------------------------------------------------------------------------------------------------------------ Machinery (0.1%) ........................................................................................................................ 36,400 Ingersoll-Rand Co. Class A (Bermuda) 1,662,024 ------------------------------------------------------------------------------------------------------------------------ Media (5.1%) ........................................................................................................................ 132,500 Charter Communications, Inc. Class A (NON) 540,600 ........................................................................................................................ 94,560 Comcast Corp. Class A (NON) 2,254,310 ........................................................................................................................ 227,340 Echostar Communications Corp. Class A (NON) 4,219,430 ........................................................................................................................ 427,800 Entercom Communications Corp. (NON) 19,636,020 ........................................................................................................................ 66,200 Hispanic Broadcasting Corp. (NON) 1,727,820 ........................................................................................................................ 89,600 Interpublic Group Companies, Inc. 2,218,496 ........................................................................................................................ 711,300 Lamar Advertising Co. (NON) 26,467,473 ........................................................................................................................ 428,800 Radio One, Inc. Class D (NON) 6,376,256 ........................................................................................................................ 52,000 Tribune Co. 2,262,000 ........................................................................................................................ 105,840 Univision Communications, Inc. Class A (NON) 3,323,376 ........................................................................................................................ 170,700 USA Networks, Inc. (NON) 4,002,915 ........................................................................................................................ 280,071 Viacom, Inc. Class B (NON) 12,426,750 ........................................................................................................................ 1,011,900 Westwood One, Inc. (NON) 33,817,698 ------------------------------------------------------------------------------------------------------------------------ 119,273,144 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (4.3%) ........................................................................................................................ 1,354,600 Apogent Technologies, Inc. (NON) 27,864,122 ........................................................................................................................ 527,600 Biomet, Inc. 14,308,512 ........................................................................................................................ 74,400 Charles River Laboratories International, Inc. (NON) 2,607,720 ........................................................................................................................ 104,400 Cytyc Corp. (NON) 795,528 ........................................................................................................................ 92,400 Guidant Corp. (NON) 2,793,252 ........................................................................................................................ 315,140 Medtronic, Inc. 13,503,749 ........................................................................................................................ 86,600 St. Jude Medical, Inc. (NON) 6,395,410 ........................................................................................................................ 90,600 Stryker Corp. 4,848,006 ........................................................................................................................ 163,100 Varian Medical Systems, Inc. (NON) 6,613,705 ........................................................................................................................ 595,400 Zimmer Holdings, Inc. (NON) 21,231,964 ------------------------------------------------------------------------------------------------------------------------ 100,961,968 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (0.2%) ........................................................................................................................ 53,860 Dynegy, Inc. Class A 387,792 ........................................................................................................................ 117,100 Kinder Morgan, Inc. 4,452,142 ------------------------------------------------------------------------------------------------------------------------ 4,839,934 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (1.5%) ........................................................................................................................ 82,500 Burlington Resources, Inc. 3,135,000 ........................................................................................................................ 103,600 EOG Resources, Inc. 4,112,920 ........................................................................................................................ 30,400 Kerr-McGee Corp. 1,627,920 ........................................................................................................................ 51,500 Murphy Oil Corp. 4,248,750 ........................................................................................................................ 525,500 Noble Corp. (NON) 20,284,300 ........................................................................................................................ 25,100 Valero Energy Corp. 939,242 ------------------------------------------------------------------------------------------------------------------------ 34,348,132 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (7.0%) ........................................................................................................................ 179,100 Abbott Laboratories 6,743,115 ........................................................................................................................ 336,854 Allergan, Inc. 22,485,005 ........................................................................................................................ 176,450 Andrx Group (NON) 4,758,857 ........................................................................................................................ 66,000 Barr Laboratories, Inc. (NON) 4,192,980 ........................................................................................................................ 30,200 Biovail Corp. (Canada) (NON) 874,592 ........................................................................................................................ 498,400 Cephalon, Inc. (NON) 22,527,680 ........................................................................................................................ 210,000 Enzon, Inc. (NON) 5,275,200 ........................................................................................................................ 44,800 Forest Laboratories, Inc. (NON) 3,171,840 ........................................................................................................................ 111,900 IVAX Corp. (NON) 1,208,520 ........................................................................................................................ 338,600 Johnson & Johnson 17,695,236 ........................................................................................................................ 678,885 King Pharmaceuticals, Inc. (NON) 15,105,191 ........................................................................................................................ 160,840 Lilly (Eli) & Co. 9,071,376 ........................................................................................................................ 57,800 Medicis Pharmaceutical Corp. Class A (NON) 2,471,528 ........................................................................................................................ 195,300 Merck & Company, Inc. 9,889,992 ........................................................................................................................ 914,500 Pfizer, Inc. 32,007,500 ........................................................................................................................ 275,100 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 7,100,331 ------------------------------------------------------------------------------------------------------------------------ 164,578,943 ------------------------------------------------------------------------------------------------------------------------ Power Producers (0.1%) ........................................................................................................................ 202,300 Mirant Corp. (NON) 1,476,790 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.1%) ........................................................................................................................ 87,100 Norfolk Southern Corp. 2,036,398 ------------------------------------------------------------------------------------------------------------------------ Restaurants (1.4%) ........................................................................................................................ 62,550 Applebee's International, Inc. 1,423,638 ........................................................................................................................ 1,142,800 Starbucks Corp. (NON) 28,398,580 ........................................................................................................................ 61,100 Wendy's International, Inc. 2,433,613 ------------------------------------------------------------------------------------------------------------------------ 32,255,831 ------------------------------------------------------------------------------------------------------------------------ Retail (11.6%) ........................................................................................................................ 435,300 AutoZone, Inc. (NON) 33,648,690 ........................................................................................................................ 948,900 Bed Bath & Beyond, Inc. (NON) 35,811,486 ........................................................................................................................ 166,150 Best Buy Companies, Inc. (NON) 6,031,245 ........................................................................................................................ 49,800 Coach, Inc. (NON) 2,734,020 ........................................................................................................................ 59,300 Columbia Sportswear Co. (NON) 1,897,541 ........................................................................................................................ 1,017,300 Dollar Tree Stores, Inc. (NON) 40,091,791 ........................................................................................................................ 687,100 Family Dollar Stores, Inc. 24,220,275 ........................................................................................................................ 555,900 Foot Locker, Inc. (NON) 8,032,755 ........................................................................................................................ 142,020 Home Depot, Inc. (The) 5,216,395 ........................................................................................................................ 53,640 Kohl's Corp. (NON) 3,759,091 ........................................................................................................................ 347,880 Lowe's Companies, Inc. 15,793,752 ........................................................................................................................ 641,000 Office Depot, Inc. (NON) 10,768,800 ........................................................................................................................ 53,300 Pier 1 Imports, Inc. 1,119,300 ........................................................................................................................ 61,800 Ross Stores, Inc. 2,518,350 ........................................................................................................................ 795,000 Staples, Inc. (NON) 15,661,500 ........................................................................................................................ 76,500 Talbots, Inc. (The) 2,677,500 ........................................................................................................................ 1,289,800 TJX Companies, Inc. (The) 25,292,978 ........................................................................................................................ 379,880 Wal-Mart Stores, Inc. 20,897,199 ........................................................................................................................ 135,300 Walgreen Co. 5,226,639 ........................................................................................................................ 225,900 Whole Foods Market, Inc. (NON) 10,892,898 ------------------------------------------------------------------------------------------------------------------------ 272,292,205 ------------------------------------------------------------------------------------------------------------------------ Schools (0.7%) ........................................................................................................................ 325,350 Apollo Group, Inc. Class A (NON) 12,825,297 ........................................................................................................................ 76,700 Career Education Corp. (NON) 3,451,500 ------------------------------------------------------------------------------------------------------------------------ 16,276,797 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (2.5%) ........................................................................................................................ 461,700 ASM Lithography Holdings NV (Netherlands) (NON) 6,980,904 ........................................................................................................................ 478,807 KLA-Tencor Corp. (NON) 21,062,720 ........................................................................................................................ 582,300 LAM Research Corp. (NON) 10,469,754 ........................................................................................................................ 400,500 Novellus Systems, Inc. (NON) 13,617,000 ........................................................................................................................ 299,600 Teradyne, Inc. (NON) 7,040,600 ------------------------------------------------------------------------------------------------------------------------ 59,170,978 ------------------------------------------------------------------------------------------------------------------------ Shipping (0.5%) ........................................................................................................................ 120,800 C.H. Robinson Worldwide, Inc. 4,050,424 ........................................................................................................................ 186,800 Expeditors International of Washington, Inc. 6,194,288 ........................................................................................................................ 42,100 Ryder System, Inc. 1,140,489 ------------------------------------------------------------------------------------------------------------------------ 11,385,201 ------------------------------------------------------------------------------------------------------------------------ Software (7.2%) ........................................................................................................................ 259,700 Adobe Systems, Inc. 7,401,450 ........................................................................................................................ 40,700 Advent Software, Inc. (NON) 1,045,990 ........................................................................................................................ 130,700 Amdocs, Ltd. (Guernsey) (NON) 986,785 ........................................................................................................................ 92,800 BEA Systems, Inc. (NON) 882,528 ........................................................................................................................ 264,900 Cadence Design Systems, Inc. (NON) 4,270,188 ........................................................................................................................ 400,400 Cognos, Inc. (Canada) (NON) 8,884,876 ........................................................................................................................ 444,000 Electronic Arts, Inc. (NON) 29,326,200 ........................................................................................................................ 105,000 Internet Security Systems, Inc. (NON) 1,377,600 ........................................................................................................................ 103,100 Intuit, Inc. (NON) 5,126,132 ........................................................................................................................ 105,100 J.D. Edwards & Co. (NON) 1,276,965 ........................................................................................................................ 160,000 Manugistics Group, Inc. (NON) 977,600 ........................................................................................................................ 103,300 Mercury Interactive Corp. (NON) 2,371,768 ........................................................................................................................ 625,960 Microsoft Corp. (NON) 34,240,012 ........................................................................................................................ 372,300 NETIQ Corp. (NON) 8,425,149 ........................................................................................................................ 620,091 Network Associates, Inc. (NON) 11,949,154 ........................................................................................................................ 285,880 Oracle Corp. (NON) 2,707,284 ........................................................................................................................ 326,700 PeopleSoft, Inc. (NON) 4,861,296 ........................................................................................................................ 329,700 Quest Software, Inc. (NON) 4,790,541 ........................................................................................................................ 164,900 Retek, Inc. (NON) 4,007,070 ........................................................................................................................ 84,500 Siebel Systems, Inc. (NON) 1,201,590 ........................................................................................................................ 561,900 Symantec Corp. (NON) 18,458,415 ........................................................................................................................ 60,200 Synopsys, Inc. (NON) 3,299,562 ........................................................................................................................ 373,300 TIBCO Software, Inc. (NON) 2,075,548 ........................................................................................................................ 293,445 VERITAS Software Corp. (NON) 5,807,277 ........................................................................................................................ 288,300 webMethods, Inc. (NON) 2,854,170 ------------------------------------------------------------------------------------------------------------------------ 168,605,150 ------------------------------------------------------------------------------------------------------------------------ Staffing (0.1%) ........................................................................................................................ 52,800 Hewitt Associates, Inc. Class A (NON) 1,230,240 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.8%) ........................................................................................................................ 494,100 CenturyTel, Inc. 14,575,950 ........................................................................................................................ 114,200 Earthlink, Inc. (NON) 757,146 ........................................................................................................................ 33,000 Telephone and Data Systems, Inc. 1,998,150 ........................................................................................................................ 654,200 Time Warner Telecom, Inc. Class A (NON) 1,099,056 ........................................................................................................................ 122,000 Western Wireless Corp. Class A (NON) 390,400 ------------------------------------------------------------------------------------------------------------------------ 18,820,702 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.1%) ........................................................................................................................ 69,500 Jones Apparel Group, Inc. (NON) 2,606,250 ------------------------------------------------------------------------------------------------------------------------ Tobacco (0.6%) ........................................................................................................................ 322,960 Philip Morris Companies, Inc. 14,106,893 ------------------------------------------------------------------------------------------------------------------------ Trucks & Parts (--%) ........................................................................................................................ 21,450 PACCAR, Inc. 952,166 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $2,676,485,908) $2,317,353,239 ------------------------------------------------------------------------------------------------------------------------ PURCHASED OPTIONS OUTSTANDING (--%) (a) (cost $575,512) ------------------------------------------------------------------------------------------------------------------------ Contract Amount Strike Price Value ........................................................................................................................ 83,650 Andrx Group (Call) Dec. 02/36.00 USD $338,339 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (1.4%) (a) (cost $33,817,070) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $33,817,070 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) $33,817,070 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $2,710,878,490) (b) $2,351,508,648 ------------------------------------------------------------------------------------------------------------------------
Written Options Outstanding at June 30, 2002 (Unaudited) (premiums received $352,538) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amounts Strike Price Value .............................................................................. 83,650 Andrx Group (Put) Dec 02/ 25.00 USD $464,817 .............................................................................. 20,178 Capital OneFinancial Corp. (Call) Aug 02/ 65.00 USD 46,611 .............................................................................. 13,590 IDEC Pharmaceuticals Corp. (Put) July 02/ 31.51 USD 20,646 .............................................................................. 57,500 Oracle Corp. (Put) July 02/ 8.85 USD 19,723 .............................................................................. 13,776 UnitedHealth Group, Inc. (Call) July 02/ 95.00 USD 22,042 ------------------------------------------------------------------------------ $573,839 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT New Value Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (95.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Aerospace and Defense (2.9%) ........................................................................................................................ 145,300 Boeing Co. (The) $6,538,500 ........................................................................................................................ 51,200 Lockheed Martin Corp. 3,558,400 ........................................................................................................................ 229,300 Rockwell Collins, Inc. 6,287,406 ------------------------------------------------------------------------------------------------------------------------ 16,384,306 ------------------------------------------------------------------------------------------------------------------------ Automotive (0.9%) ........................................................................................................................ 116,900 Lear Corp. (NON) 5,406,625 ------------------------------------------------------------------------------------------------------------------------ Banking (14.1%) ........................................................................................................................ 185,700 Bank of America Corp. 13,065,852 ........................................................................................................................ 180,000 Charter One Financial, Inc. 6,188,400 ........................................................................................................................ 123,200 Comerica, Inc. 7,564,480 ........................................................................................................................ 101,500 M&T Bank Corp. 8,704,640 ........................................................................................................................ 454,800 Sovereign Bancorp, Inc. 6,799,260 ........................................................................................................................ 790,200 U.S. Bancorp 18,451,170 ........................................................................................................................ 233,000 Wachovia Corp. 8,895,940 ........................................................................................................................ 204,000 Wells Fargo & Co. 10,212,240 ------------------------------------------------------------------------------------------------------------------------ 79,881,982 ------------------------------------------------------------------------------------------------------------------------ Beverage (0.5%) ........................................................................................................................ 93,000 Pepsi Bottling Group, Inc. (The) 2,864,400 ------------------------------------------------------------------------------------------------------------------------ Chemicals (3.7%) ........................................................................................................................ 188,200 Avery Dennison Corp. 11,809,550 ........................................................................................................................ 514,200 Hercules, Inc. (NON) 5,964,720 ........................................................................................................................ 86,500 Rohm & Haas Co. 3,502,385 ------------------------------------------------------------------------------------------------------------------------ 21,276,655 ------------------------------------------------------------------------------------------------------------------------ Coal (1.5%) ........................................................................................................................ 250,800 Arch Coal, Inc. 5,695,668 ........................................................................................................................ 109,300 Peabody Energy Corp. 3,093,190 ------------------------------------------------------------------------------------------------------------------------ 8,788,858 ------------------------------------------------------------------------------------------------------------------------ Computers (2.4%) ........................................................................................................................ 882,976 Hewlett-Packard Co. 13,491,873 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (5.5%) ........................................................................................................................ 5,600 Berkshire Hathaway, Inc. Class B (NON) 12,510,400 ........................................................................................................................ 1,385,000 Tyco International, Ltd. (Bermuda) 18,711,350 ------------------------------------------------------------------------------------------------------------------------ 31,221,750 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (1.5%) ........................................................................................................................ 120,000 Household International, Inc. 5,964,000 ........................................................................................................................ 454,800 Providian Financial Corp. 2,674,224 ------------------------------------------------------------------------------------------------------------------------ 8,638,224 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.0%) ........................................................................................................................ 102,000 Fortune Brands, Inc. 5,712,000 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.8%) ........................................................................................................................ 957,600 Service Corp. International (NON) 4,625,208 ------------------------------------------------------------------------------------------------------------------------ Containers (0.4%) ........................................................................................................................ 173,700 Owens-Illinois, Inc. (NON) 2,386,638 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (4.3%) ........................................................................................................................ 389,700 Edison International (NON) 6,624,900 ........................................................................................................................ 144,700 Entergy Corp. 6,141,068 ........................................................................................................................ 190,000 FirstEnergy Corp. 6,342,200 ........................................................................................................................ 98,600 Progress Energy, Inc. 5,128,186 ------------------------------------------------------------------------------------------------------------------------ 24,236,354 ------------------------------------------------------------------------------------------------------------------------ Electronics (0.9%) ........................................................................................................................ 374,000 Motorola, Inc. 5,393,080 ------------------------------------------------------------------------------------------------------------------------ Energy (0.9%) ........................................................................................................................ 159,700 BJ Services Co. (NON) 5,410,636 ------------------------------------------------------------------------------------------------------------------------ Financial (4.9%) ........................................................................................................................ 582,000 Citigroup, Inc. 22,552,500 ........................................................................................................................ 76,500 Fannie Mae 5,641,875 ------------------------------------------------------------------------------------------------------------------------ 28,194,375 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (2.5%) ........................................................................................................................ 144,700 CIGNA Corp. 14,096,674 ------------------------------------------------------------------------------------------------------------------------ Insurance (3.1%) ........................................................................................................................ 300,700 ACE, Ltd. (Bermuda) 9,502,120 ........................................................................................................................ 93,500 XL Capital, Ltd. Class A (Bermuda) 7,919,450 ------------------------------------------------------------------------------------------------------------------------ 17,421,570 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (4.0%) ........................................................................................................................ 349,900 JPMorgan Chase & Co. 11,868,608 ........................................................................................................................ 94,100 Lehman Brothers Holdings, Inc. 5,883,132 ........................................................................................................................ 111,200 Morgan Stanley Dean Witter & Co. 4,790,496 ------------------------------------------------------------------------------------------------------------------------ 22,542,236 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.5%) ........................................................................................................................ 132,700 Royal Caribbean Cruises, Ltd. 2,587,650 ------------------------------------------------------------------------------------------------------------------------ Machinery (1.0%) ........................................................................................................................ 129,500 Ingersoll-Rand Co. Class A (Bermuda) 5,912,970 ------------------------------------------------------------------------------------------------------------------------ Media (2.2%) ........................................................................................................................ 1,265,000 Liberty Media Corp. Class A (NON) 12,650,000 ------------------------------------------------------------------------------------------------------------------------ Metals (0.6%) ........................................................................................................................ 80,900 Phelps Dodge Corp. 3,333,080 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (1.6%) ........................................................................................................................ 549,000 Dynegy, Inc. Class A 3,952,800 ........................................................................................................................ 256,000 El Paso Corp. 5,276,160 ------------------------------------------------------------------------------------------------------------------------ 9,228,960 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (5.9%) ........................................................................................................................ 218,600 Conoco, Inc. 6,077,080 ........................................................................................................................ 394,000 Royal Dutch Petroleum Co. ADR (Netherlands) 21,776,380 ........................................................................................................................ 159,200 Unocal Corp. 5,880,848 ------------------------------------------------------------------------------------------------------------------------ 33,734,308 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (2.4%) ........................................................................................................................ 233,700 Boise Cascade Corp. 8,069,661 ........................................................................................................................ 370,200 Smurfit-Stone Container Corp. (NON) 5,708,484 ------------------------------------------------------------------------------------------------------------------------ 13,778,145 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (3.7%) ........................................................................................................................ 298,800 Merck & Company, Inc. 15,131,232 ........................................................................................................................ 236,000 Schering-Plough Corp. 5,805,600 ------------------------------------------------------------------------------------------------------------------------ 20,936,832 ------------------------------------------------------------------------------------------------------------------------ Photography/Imaging (1.9%) ........................................................................................................................ 1,514,000 Xerox Corp. (NON) 10,552,580 ------------------------------------------------------------------------------------------------------------------------ Railroads (3.0%) ........................................................................................................................ 323,000 Norfolk Southern Corp. 7,551,740 ........................................................................................................................ 155,000 Union Pacific Corp. 9,808,400 ------------------------------------------------------------------------------------------------------------------------ 17,360,140 ------------------------------------------------------------------------------------------------------------------------ Real Estate (1.0%) ........................................................................................................................ 151,000 Boston Properties, Inc. (R) 6,032,450 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (2.2%) ........................................................................................................................ 406,800 SBC Communications, Inc. 12,407,400 ------------------------------------------------------------------------------------------------------------------------ Restaurants (1.1%) ........................................................................................................................ 245,400 Darden Restaurants, Inc. 6,061,380 ------------------------------------------------------------------------------------------------------------------------ Retail (5.9%) ........................................................................................................................ 142,800 Federated Department Stores, Inc. (NON) 5,669,160 ........................................................................................................................ 474,400 JC Penney Company, Inc. 10,446,288 ........................................................................................................................ 305,100 Limited Brands, Inc. 6,498,630 ........................................................................................................................ 2,256,000 Rite Aid Corp. (NON) 5,301,600 ........................................................................................................................ 290,000 Staples, Inc. (NON) 5,713,000 ------------------------------------------------------------------------------------------------------------------------ 33,628,678 ------------------------------------------------------------------------------------------------------------------------ Software (1.0%) ........................................................................................................................ 355,000 Computer Associates International, Inc. 5,640,950 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (1.5%) ........................................................................................................................ 1,018,000 Qwest Communications International, Inc. (NON) 2,850,400 ........................................................................................................................ 552,700 Sprint Corp. (FON Group) 5,864,147 ------------------------------------------------------------------------------------------------------------------------ 8,714,547 ------------------------------------------------------------------------------------------------------------------------ Tobacco (3.0%) ........................................................................................................................ 394,000 Philip Morris Companies, Inc. 17,209,920 ------------------------------------------------------------------------------------------------------------------------ Waste Management (1.6%) ........................................................................................................................ 466,800 Republic Services, Inc. (NON) 8,901,876 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $574,065,154) $546,645,310 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE PREFERRED STOCKS (2.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 207,000 General Motors Corp. $1.31 cv. pfd. $5,433,750 ........................................................................................................................ 5,700 Hercules Trust II 6.50% cum. cv. pfd. 3,363,000 ........................................................................................................................ 44,000 Xerox Corp. 144A $3.75 cv. pfd. 2,398,000 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Preferred Stocks (cost $11,070,483) $11,194,750 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE BONDS AND NOTES (1.3%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $640,000 Computer Associates International, Inc. 144A cv. sr. notes 5s, 2007 $639,200 ........................................................................................................................ 2,300,000 Providian Financial Corp. cv. sr. notes 3 1/4s, 2005 1,584,125 ........................................................................................................................ 2,060,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 2,029,100 ........................................................................................................................ 5,100,000 Xerox Corp. cv. sub. deb. 0.57s, 2018 3,034,500 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Bonds and Notes (cost $5,829,881) $7,286,925 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (2.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $6,989,415 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $6,985,168 ........................................................................................................................ 9,240,055 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 9,240,055 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $16,225,223) $16,225,223 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $607,190,741) (b) $581,352,208 ------------------------------------------------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT OTC & Emerging Growth Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (98.2%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Aerospace and Defense (1.2%) ........................................................................................................................ 27,000 L-3 Communications Holdings, Inc. (NON) $1,458,000 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.2%) ........................................................................................................................ 5,600 JetBlue Airways Corp. (NON) 255,136 ------------------------------------------------------------------------------------------------------------------------ Automotive (1.5%) ........................................................................................................................ 14,700 Advance Auto Parts, Inc. (NON) 801,297 ........................................................................................................................ 15,000 Gentex Corp. (NON) 412,050 ........................................................................................................................ 5,300 SPX Corp. (NON) 622,750 ------------------------------------------------------------------------------------------------------------------------ 1,836,097 ------------------------------------------------------------------------------------------------------------------------ Banking (2.8%) ........................................................................................................................ 1,500 Commerce Bancorp, Inc. 66,300 ........................................................................................................................ 21,600 Greater Bay Bancorp 664,416 ........................................................................................................................ 13,000 New York Community Bancorp, Inc. 346,840 ........................................................................................................................ 13,300 North Fork Bancorporation, Inc. 529,473 ........................................................................................................................ 32,300 TCF Financial Corp. 1,585,930 ........................................................................................................................ 2,400 Zions Bancorporation 125,040 ------------------------------------------------------------------------------------------------------------------------ 3,317,999 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (5.1%) ........................................................................................................................ 17,000 Celgene Corp. (NON) 260,100 ........................................................................................................................ 41,800 Gilead Sciences, Inc. (NON) 1,374,384 ........................................................................................................................ 14,500 IDEC Pharmaceuticals Corp. (NON) 514,025 ........................................................................................................................ 39,300 ILEX Oncology, Inc. (NON) 553,737 ........................................................................................................................ 31,800 InterMune, Inc. (NON) 670,980 ........................................................................................................................ 11,300 Invitrogen Corp. (NON) 361,713 ........................................................................................................................ 58,600 Ligand Pharmaceuticals, Inc. Class B (NON) 849,700 ........................................................................................................................ 22,840 QIAGEN NV (Netherlands) (NON) 266,086 ........................................................................................................................ 39,000 Scios, Inc. (NON) 1,193,790 ------------------------------------------------------------------------------------------------------------------------ 6,044,515 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (3.6%) ........................................................................................................................ 39,090 CDW Computer Centers, Inc. (NON) 1,829,803 ........................................................................................................................ 13,333 Choicepoint, Inc. (NON) 606,252 ........................................................................................................................ 21,600 Corporate Executive Board Co. (The) (NON) 739,800 ........................................................................................................................ 25,680 TMP Worldwide, Inc. (NON) 552,120 ........................................................................................................................ 13,000 Weight Watchers International, Inc. (NON) 564,720 ------------------------------------------------------------------------------------------------------------------------ 4,292,695 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (1.0%) ........................................................................................................................ 55,000 Extreme Networks, Inc. (NON) 554,950 ........................................................................................................................ 32,000 Polycom, Inc. (NON) 383,680 ........................................................................................................................ 26,600 Riverstone Networks, Inc. (NON) 83,258 ........................................................................................................................ 100,800 Sonus Networks, Inc. (NON) 203,616 ------------------------------------------------------------------------------------------------------------------------ 1,225,504 ------------------------------------------------------------------------------------------------------------------------ Computer Hardware (3.7%) ........................................................................................................................ 69,360 Emulex Corp. (NON) 1,561,294 ........................................................................................................................ 13,900 McDATA Corp. Class A (NON) 122,459 ........................................................................................................................ 26,700 Network Appliance, Inc. (NON) 332,148 ........................................................................................................................ 63,253 QLogic Corp. (NON) 2,409,939 ------------------------------------------------------------------------------------------------------------------------ 4,425,840 ------------------------------------------------------------------------------------------------------------------------ Computer Services (2.0%) ........................................................................................................................ 46,400 BISYS Group, Inc. (The) (NON) 1,545,120 ........................................................................................................................ 52,790 KPMG Consulting, Inc. (NON) 784,459 ------------------------------------------------------------------------------------------------------------------------ 2,329,579 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.7%) ........................................................................................................................ 29,300 AmeriCredit Corp. (NON) 821,865 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.0%) ........................................................................................................................ 42,100 Yankee Candle Company, Inc. (The) (NON) 1,140,489 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.7%) ........................................................................................................................ 25,400 Willis Group Holdings, Ltd. (United Kingdom) (NON) 835,914 ------------------------------------------------------------------------------------------------------------------------ Distribution (0.2%) ........................................................................................................................ 8,000 Performance Food Group Co. (NON) 270,880 ------------------------------------------------------------------------------------------------------------------------ Electronics (10.6%) ........................................................................................................................ 71,790 Applied Micro Circuits Corp. (NON) 339,567 ........................................................................................................................ 15,900 Brooks-PRI Automation, Inc. (NON) 406,404 ........................................................................................................................ 7,990 Celestica, Inc. (Canada) (NON) 181,453 ........................................................................................................................ 87,600 Centillium Communications, Inc. (NON) 763,872 ........................................................................................................................ 16,100 Emcore Corp. (NON) 96,600 ........................................................................................................................ 66,700 Exar Corp. (NON) 1,315,324 ........................................................................................................................ 66,390 Integrated Device Technology, Inc. (NON) 1,204,315 ........................................................................................................................ 50,100 Intersil Corp. Class A (NON) 1,071,138 ........................................................................................................................ 93,440 Marvell Technology Group, Ltd. (Bermuda) (NON) 1,858,522 ........................................................................................................................ 22,000 National Semiconductor Corp. (NON) 641,740 ........................................................................................................................ 84,000 PMC - Sierra, Inc. (NON) 778,680 ........................................................................................................................ 64,900 RF Micro Devices, Inc. (NON) 494,538 ........................................................................................................................ 34,500 Semtech Corp. (NON) 921,150 ........................................................................................................................ 58,150 Silicon Laboratories, Inc. (NON) 1,627,619 ........................................................................................................................ 72,170 Skyworks Solutions, Inc. (NON) 400,544 ........................................................................................................................ 18,300 Varian Semiconductor Equipment (NON) 620,919 ------------------------------------------------------------------------------------------------------------------------ 12,722,385 ------------------------------------------------------------------------------------------------------------------------ Energy (6.0%) ........................................................................................................................ 34,500 BJ Services Co. (NON) 1,168,860 ........................................................................................................................ 9,200 Cooper Cameron Corp. (NON) 445,464 ........................................................................................................................ 43,200 ENSCO International, Inc. 1,177,632 ........................................................................................................................ 25,500 GlobalSantaFe Corp. 697,425 ........................................................................................................................ 30,400 Nabor Industries, Ltd. (Barbardos) (NON) 1,073,120 ........................................................................................................................ 3,800 National-Oilwell, Inc. (NON) 79,990 ........................................................................................................................ 25,000 Patterson-UTI Energy, Inc. (NON) 705,750 ........................................................................................................................ 7,200 Smith International, Inc. (NON) 490,968 ........................................................................................................................ 39,000 Varco International, Inc. (NON) 684,060 ........................................................................................................................ 15,000 Weatherford Intl., Ltd. (NON) 648,000 ------------------------------------------------------------------------------------------------------------------------ 7,171,269 ------------------------------------------------------------------------------------------------------------------------ Entertainment (0.5%) ........................................................................................................................ 16,100 International Speedway Corp. Class A 645,610 ------------------------------------------------------------------------------------------------------------------------ Food (0.6%) ........................................................................................................................ 23,880 Krispy Kreme Doughnuts, Inc. (NON) 768,697 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (1.1%) ........................................................................................................................ 23,000 Harrah's Entertainment, Inc. (NON) 1,020,050 ........................................................................................................................ 6,100 International Game Technology (NON) 345,870 ------------------------------------------------------------------------------------------------------------------------ 1,365,920 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (8.4%) ........................................................................................................................ 20,900 Accredo Health, Inc. (NON) 964,326 ........................................................................................................................ 50,400 AdvancePCS (NON) 1,206,576 ........................................................................................................................ 121,100 Caremark Rx, Inc. (NON) 1,998,150 ........................................................................................................................ 40,370 Community Health Systems, Inc. (NON) 1,081,916 ........................................................................................................................ 14,900 Cross Country, Inc. (NON) 563,220 ........................................................................................................................ 49,600 Health Management Assoc., Inc. (NON) 999,440 ........................................................................................................................ 5,600 Henry Schein, Inc. (NON) 249,200 ........................................................................................................................ 5,400 Laboratory Corporation of America Holdings (NON) 246,510 ........................................................................................................................ 15,790 LifePoint Hospitals, Inc. (NON) 573,335 ........................................................................................................................ 32,200 Pediatrix Medical Group, Inc. (NON) 805,000 ........................................................................................................................ 23,100 Province Healthcare Co. (NON) 516,516 ........................................................................................................................ 10,100 Quest Diagnostics, Inc. (NON) 869,105 ------------------------------------------------------------------------------------------------------------------------ 10,073,294 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (2.7%) ........................................................................................................................ 14,200 BlackRock, Inc. (NON) 629,060 ........................................................................................................................ 11,600 Eaton Vance Corp. 361,920 ........................................................................................................................ 26,800 Federated Investors, Inc. 926,476 ........................................................................................................................ 41,100 T Rowe Price Group, Inc. 1,351,368 ------------------------------------------------------------------------------------------------------------------------ 3,268,824 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (1.8%) ........................................................................................................................ 75,900 Extended Stay America, Inc. (NON) 1,231,098 ........................................................................................................................ 18,590 Four Seasons Hotels, Inc. (Canada) 871,871 ------------------------------------------------------------------------------------------------------------------------ 2,102,969 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (0.3%) ........................................................................................................................ 10,600 Roper Industries, Inc. 395,380 ------------------------------------------------------------------------------------------------------------------------ Media (5.3%) ........................................................................................................................ 73,400 Cumulus Media, Inc. Class A (NON) 1,011,452 ........................................................................................................................ 25,390 Entercom Communications Corp. (NON) 1,165,401 ........................................................................................................................ 35,670 Lamar Advertising Co. (NON) 1,327,281 ........................................................................................................................ 11,500 Lin TV Corp. Class A (NON) 310,960 ........................................................................................................................ 74,100 Radio One, Inc. Class D (NON) 1,101,867 ........................................................................................................................ 43,100 Westwood One, Inc. (NON) 1,440,402 ------------------------------------------------------------------------------------------------------------------------ 6,357,363 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (3.7%) ........................................................................................................................ 35,300 Apogent Technologies, Inc. (NON) 726,121 ........................................................................................................................ 26,290 Charles River Laboratories International, Inc. (NON) 921,465 ........................................................................................................................ 1,060 Cytyc Corp. (NON) 8,077 ........................................................................................................................ 8,000 DENTSPLY International, Inc. 295,280 ........................................................................................................................ 5,500 Respironics, Inc. (NON) 187,275 ........................................................................................................................ 21,200 Varian Medical Systems, Inc. (NON) 859,660 ........................................................................................................................ 38,200 Zimmer Holdings, Inc. (NON) 1,362,212 ------------------------------------------------------------------------------------------------------------------------ 4,360,090 ------------------------------------------------------------------------------------------------------------------------ Metals (0.1%) ........................................................................................................................ 11,500 Liquidmetal Technologies (NON) 133,400 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (0.9%) ........................................................................................................................ 27,700 Noble Corp. (NON) 1,069,220 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (0.7%) ........................................................................................................................ 8,950 Andrx Group (NON) 241,382 ........................................................................................................................ 11,790 Cephalon, Inc. (NON) 532,908 ------------------------------------------------------------------------------------------------------------------------ 774,290 ------------------------------------------------------------------------------------------------------------------------ Restaurants (1.9%) ........................................................................................................................ 45,300 Applebee's International, Inc. 1,031,028 ........................................................................................................................ 21,000 CBRL Group, Inc. 639,030 ........................................................................................................................ 20,600 P.F. Chang's China Bistro, Inc. (NON) 647,252 ------------------------------------------------------------------------------------------------------------------------ 2,317,310 ------------------------------------------------------------------------------------------------------------------------ Retail (16.6%) ........................................................................................................................ 28,533 99 Cents Only Stores (NON) 731,871 ........................................................................................................................ 31,200 AutoZone, Inc. (NON) 2,411,760 ........................................................................................................................ 52,670 Bed Bath & Beyond, Inc. (NON) 1,987,762 ........................................................................................................................ 11,600 Borders Group, Inc. (NON) 213,440 ........................................................................................................................ 21,815 Chico's FAS, Inc. (NON) 792,321 ........................................................................................................................ 23,880 Coach, Inc. (NON) 1,311,012 ........................................................................................................................ 15,100 Columbia Sportswear Co. (NON) 483,185 ........................................................................................................................ 74,880 Dollar Tree Stores, Inc. (NON) 2,951,021 ........................................................................................................................ 43,200 Family Dollar Stores, Inc. 1,522,800 ........................................................................................................................ 46,800 Foot Locker, Inc. (NON) 676,260 ........................................................................................................................ 12,500 Hot Topic, Inc. (NON) 333,875 ........................................................................................................................ 27,000 Michaels Stores, Inc. (NON) 1,053,000 ........................................................................................................................ 19,800 O'Reilly Automotive, Inc. (NON) 545,688 ........................................................................................................................ 45,200 Office Depot, Inc. (NON) 759,360 ........................................................................................................................ 16,900 Ross Stores, Inc. 688,675 ........................................................................................................................ 31,669 Staples, Inc. (NON) 623,879 ........................................................................................................................ 8,400 Tiffany & Co. 295,680 ........................................................................................................................ 51,400 Too, Inc. (NON) 1,583,120 ........................................................................................................................ 29,200 Williams-Sonoma, Inc. (NON) 895,272 ------------------------------------------------------------------------------------------------------------------------ 19,859,981 ------------------------------------------------------------------------------------------------------------------------ Schools (3.4%) ........................................................................................................................ 26,085 Apollo Group, Inc. Class A (NON) 1,028,271 ........................................................................................................................ 63,680 Career Education Corp. (NON) 2,865,600 ........................................................................................................................ 5,000 Education Management Corp. (NON) 203,650 ------------------------------------------------------------------------------------------------------------------------ 4,097,521 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (4.0%) ........................................................................................................................ 23,800 Credence Systems Corp. (NON) 422,926 ........................................................................................................................ 7,700 Cymer, Inc. (NON) 269,808 ........................................................................................................................ 18,490 KLA-Tencor Corp. (NON) 813,375 ........................................................................................................................ 59,580 LAM Research Corp. (NON) 1,071,248 ........................................................................................................................ 34,700 LTX Corp. (NON) 495,516 ........................................................................................................................ 34,090 Novellus Systems, Inc. (NON) 1,159,060 ........................................................................................................................ 8,000 Photon Dynamics, Inc. (NON) 240,000 ........................................................................................................................ 15,000 Photronics, Inc. (NON) 284,100 ------------------------------------------------------------------------------------------------------------------------ 4,756,033 ------------------------------------------------------------------------------------------------------------------------ Shipping (0.1%) ........................................................................................................................ 2,200 Expeditors International of Washington, Inc. 72,952 ........................................................................................................................ 800 Heartland Express, Inc. (NON) 19,144 ........................................................................................................................ 100 Landstar Systems, Inc. (NON) 10,685 ........................................................................................................................ 3,000 Swift Transportation Co., Inc. (NON) 69,900 ------------------------------------------------------------------------------------------------------------------------ 172,681 ------------------------------------------------------------------------------------------------------------------------ Software (5.3%) ........................................................................................................................ 28,800 Cognos, Inc. (Canada) (NON) 639,072 ........................................................................................................................ 35,000 Documentum, Inc. (NON) 420,000 ........................................................................................................................ 10,590 Electronic Arts, Inc. (NON) 699,470 ........................................................................................................................ 23,400 Internet Security Systems, Inc. (NON) 307,008 ........................................................................................................................ 27,887 NETIQ Corp. (NON) 631,083 ........................................................................................................................ 51,300 Network Associates, Inc. (NON) 988,551 ........................................................................................................................ 42,200 Quest Software, Inc. (NON) 613,166 ........................................................................................................................ 19,000 Retek, Inc. (NON) 461,700 ........................................................................................................................ 16,200 Symantec Corp. (NON) 532,170 ........................................................................................................................ 104,550 webMethods, Inc. (NON) 1,035,045 ------------------------------------------------------------------------------------------------------------------------ 6,327,265 ------------------------------------------------------------------------------------------------------------------------ Staffing (0.1%) ........................................................................................................................ 5,100 Hewitt Associates, Inc. Class A (NON) 118,830 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.2%) ........................................................................................................................ 7,800 Earthlink, Inc. (NON) 51,714 ........................................................................................................................ 81,270 Time Warner Telecom, Inc. Class A (NON) 136,534 ------------------------------------------------------------------------------------------------------------------------ 188,248 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.2%) ........................................................................................................................ 5,700 Jones Apparel Group, Inc. (NON) 213,750 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $133,799,519) $117,514,843 ------------------------------------------------------------------------------------------------------------------------ PURCHASED OPTIONS OUTSTANDING (--%) (a) (cost $61,576) ------------------------------------------------------------------------------------------------------------------------ Expiration Date/ Market Contract Amount Strike Price Value ........................................................................................................................ 8,950 Andrx Group (Call) Dec 02/ 36.00 USD $36,200 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (2.5%) (a) (cost $2,939,113) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $2,939,113 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) $2,939,113 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $136,800,208) (b) $120,490,156 ------------------------------------------------------------------------------------------------------------------------
Written Options at June 30, 2002 (Unaudited) (premium received $26,582) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amounts Strike Price Value .............................................................................. 8,950 Andrx Group (Put) Dec 02/ 25.00 USD $49,732 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Research Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (98.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Agriculture (0.7%) ........................................................................................................................ 99,900 Monsanto Co. $1,778,220 ------------------------------------------------------------------------------------------------------------------------ Airlines (1.3%) ........................................................................................................................ 220,000 Southwest Airlines Co. 3,555,200 ------------------------------------------------------------------------------------------------------------------------ Banking (6.0%) ........................................................................................................................ 12,700 Bank of America Corp. 893,572 ........................................................................................................................ 97,700 Bank of New York Company, Inc. (The) 3,297,375 ........................................................................................................................ 18,500 Comerica, Inc. 1,135,900 ........................................................................................................................ 18,900 Greenpoint Financial Corp. 927,990 ........................................................................................................................ 279,900 U.S. Bancorp 6,535,665 ........................................................................................................................ 17,100 Wells Fargo & Co. 856,026 ........................................................................................................................ 49,800 Zions Bancorporation 2,594,580 ------------------------------------------------------------------------------------------------------------------------ 16,241,108 ------------------------------------------------------------------------------------------------------------------------ Beverage (1.2%) ........................................................................................................................ 60,300 Coca-Cola Co. (The) 3,376,800 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (2.0%) ........................................................................................................................ 83,100 Amgen, Inc. (NON) 3,480,228 ........................................................................................................................ 72,400 MedImmune, Inc. (NON) 1,911,360 ------------------------------------------------------------------------------------------------------------------------ 5,391,588 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (1.6%) ........................................................................................................................ 93,800 Echostar Communications Corp. Class A (NON) 1,740,928 ........................................................................................................................ 59,900 Viacom, Inc. Class B (NON) 2,657,763 ------------------------------------------------------------------------------------------------------------------------ 4,398,691 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.8%) ........................................................................................................................ 89,200 Comcast Corp. Class A (NON) 2,126,528 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.3%) ........................................................................................................................ 625,300 Nortel Networks Corp. (Canada) (NON) 906,685 ------------------------------------------------------------------------------------------------------------------------ Computers (3.0%) ........................................................................................................................ 538,200 Hewlett-Packard Co. 8,223,696 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (1.5%) ........................................................................................................................ 302,900 Tyco International, Ltd. (Bermuda) 4,092,179 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (4.1%) ........................................................................................................................ 56,300 Capital One Financial Corp. 3,437,115 ........................................................................................................................ 68,900 Household International, Inc. 3,424,330 ........................................................................................................................ 129,000 MBNA Corp. 4,266,030 ------------------------------------------------------------------------------------------------------------------------ 11,127,475 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.9%) ........................................................................................................................ 86,100 Colgate-Palmolive Co. 4,309,305 ........................................................................................................................ 12,800 Kimberly-Clark Corp. 793,600 ------------------------------------------------------------------------------------------------------------------------ 5,102,905 ------------------------------------------------------------------------------------------------------------------------ Distribution (0.8%) ........................................................................................................................ 75,900 SYSCO Corp. 2,065,998 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (3.3%) ........................................................................................................................ 170,100 Edison International (NON) 2,891,700 ........................................................................................................................ 52,500 FPL Group, Inc. 3,149,475 ........................................................................................................................ 161,200 PG&E Corp. (NON) 2,883,868 ------------------------------------------------------------------------------------------------------------------------ 8,925,043 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (0.4%) ........................................................................................................................ 107,600 ABB, Ltd. (Switzerland) (NON) 958,261 ------------------------------------------------------------------------------------------------------------------------ Electronics (2.8%) ........................................................................................................................ 45,300 Agilent Technologies, Inc. (NON) 1,071,345 ........................................................................................................................ 361,700 Intel Corp. 6,608,259 ------------------------------------------------------------------------------------------------------------------------ 7,679,604 ------------------------------------------------------------------------------------------------------------------------ Energy (0.5%) ........................................................................................................................ 47,500 GlobalSantaFe Corp. 1,299,125 ------------------------------------------------------------------------------------------------------------------------ Financial (6.8%) ........................................................................................................................ 315,300 Citigroup, Inc. (SEG) 12,217,875 ........................................................................................................................ 104,400 Freddie Mac 6,389,280 ------------------------------------------------------------------------------------------------------------------------ 18,607,155 ------------------------------------------------------------------------------------------------------------------------ Food (1.4%) ........................................................................................................................ 84,900 General Mills, Inc. 3,742,392 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (1.0%) ........................................................................................................................ 47,000 International Game Technology (NON) 2,664,900 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (3.4%) ........................................................................................................................ 14,600 AmerisourceBergen Corp. 1,109,600 ........................................................................................................................ 77,100 Cardinal Health, Inc. 4,734,711 ........................................................................................................................ 39,500 HCA, Inc. 1,876,250 ........................................................................................................................ 20,700 Wellpoint Health Networks, Inc. (NON) 1,610,667 ------------------------------------------------------------------------------------------------------------------------ 9,331,228 ------------------------------------------------------------------------------------------------------------------------ Insurance (3.7%) ........................................................................................................................ 95,400 ACE, Ltd. (Bermuda) 3,014,640 ........................................................................................................................ 59,900 American International Group, Inc. 4,086,977 ........................................................................................................................ 36,800 XL Capital, Ltd. Class A (Bermuda) 3,116,960 ------------------------------------------------------------------------------------------------------------------------ 10,218,577 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.6%) ........................................................................................................................ 21,600 Goldman Sachs Group, Inc. (The) 1,584,360 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (1.5%) ........................................................................................................................ 130,700 Hilton Hotels Corp. 1,816,730 ........................................................................................................................ 122,600 Royal Caribbean Cruises, Ltd. 2,390,700 ------------------------------------------------------------------------------------------------------------------------ 4,207,430 ------------------------------------------------------------------------------------------------------------------------ Machinery (2.2%) ........................................................................................................................ 65,800 Ingersoll-Rand Co. Class A (Bermuda) 3,004,428 ........................................................................................................................ 63,400 Parker-Hannifin Corp. 3,029,886 ------------------------------------------------------------------------------------------------------------------------ 6,034,314 ------------------------------------------------------------------------------------------------------------------------ Media (2.9%) ........................................................................................................................ 39,100 Fox Entertainment Group, Inc. Class A (NON) 850,425 ........................................................................................................................ 298,900 Liberty Media Corp. Class A (NON) 2,989,000 ........................................................................................................................ 212,000 Walt Disney Co. (The) 4,006,800 ------------------------------------------------------------------------------------------------------------------------ 7,846,225 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (1.5%) ........................................................................................................................ 92,300 Medtronic, Inc. 3,955,055 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (7.7%) ........................................................................................................................ 76,600 BP PLC ADR (United Kingdom) 3,867,534 ........................................................................................................................ 23,100 Burlington Resources, Inc. 877,800 ........................................................................................................................ 350,300 Exxon Mobil Corp. 14,334,276 ........................................................................................................................ 24,800 TotalFinaElf SA ADR (France) 2,006,320 ------------------------------------------------------------------------------------------------------------------------ 21,085,930 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (1.8%) ........................................................................................................................ 82,100 Smurfit-Stone Container Corp. (NON) 1,265,982 ........................................................................................................................ 58,000 Weyerhaeuser Co. 3,703,300 ------------------------------------------------------------------------------------------------------------------------ 4,969,282 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (8.2%) ........................................................................................................................ 22,300 Abbott Laboratories 839,595 ........................................................................................................................ 37,100 Allergan, Inc. 2,476,425 ........................................................................................................................ 56,400 Andrx Group (NON) 1,521,108 ........................................................................................................................ 40,600 AstraZeneca PLC ADR (United Kingdom) 1,664,600 ........................................................................................................................ 110,500 Johnson & Johnson 5,774,730 ........................................................................................................................ 21,200 Novartis AG ADR (Switzerland) 929,196 ........................................................................................................................ 105,600 Pfizer, Inc. 3,696,000 ........................................................................................................................ 96,300 Pharmacia Corp. 3,606,435 ........................................................................................................................ 42,100 Wyeth 2,155,520 ------------------------------------------------------------------------------------------------------------------------ 22,663,609 ------------------------------------------------------------------------------------------------------------------------ Railroads (1.2%) ........................................................................................................................ 50,200 Union Pacific Corp. 3,176,656 ------------------------------------------------------------------------------------------------------------------------ Real Estate (0.3%) ........................................................................................................................ 28,600 Equity Office Properties Trust (R) 860,860 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (2.9%) ........................................................................................................................ 120,700 BellSouth Corp. 3,802,050 ........................................................................................................................ 134,755 SBC Communications, Inc. 4,110,028 ------------------------------------------------------------------------------------------------------------------------ 7,912,078 ------------------------------------------------------------------------------------------------------------------------ Retail (7.7%) ........................................................................................................................ 125,700 JC Penney Company, Inc. 2,767,914 ........................................................................................................................ 31,000 Kohl's Corp. (NON) 2,172,480 ........................................................................................................................ 120,600 Lowe's Companies, Inc. 5,475,240 ........................................................................................................................ 154,300 Office Depot, Inc. (NON) 2,592,240 ........................................................................................................................ 102,500 Safeway, Inc. (NON) 2,991,975 ........................................................................................................................ 52,200 Target Corp. 1,988,820 ........................................................................................................................ 157,500 TJX Companies, Inc. (The) 3,088,575 ------------------------------------------------------------------------------------------------------------------------ 21,077,244 ------------------------------------------------------------------------------------------------------------------------ Software (7.1%) ........................................................................................................................ 113,800 BMC Software, Inc. (NON) 1,889,080 ........................................................................................................................ 192,400 Computer Associates International, Inc. 3,057,236 ........................................................................................................................ 226,600 Microsoft Corp. (NON) 12,395,020 ........................................................................................................................ 126,400 PeopleSoft, Inc. (NON) 1,880,832 ------------------------------------------------------------------------------------------------------------------------ 19,222,168 ------------------------------------------------------------------------------------------------------------------------ Technology Services (0.9%) ........................................................................................................................ 160,800 KPMG Consulting, Inc. (NON) 2,389,488 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.5%) ........................................................................................................................ 31,000 CenturyTel, Inc. 914,500 ........................................................................................................................ 91,200 Sprint Corp. (PCS Group) (NON) 407,664 ------------------------------------------------------------------------------------------------------------------------ 1,322,164 ------------------------------------------------------------------------------------------------------------------------ Tobacco (2.0%) ........................................................................................................................ 122,800 Philip Morris Companies, Inc. 5,363,903 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.9%) ........................................................................................................................ 97,200 Waste Management, Inc. 2,532,060 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $303,462,830) $268,016,184 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (1.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $359,038 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $358,820 ........................................................................................................................ 2,667,339 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 2,667,339 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $3,026,159) $3,026,159 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $306,488,989) (b) $271,042,343 ------------------------------------------------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Small Cap Value Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (96.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Advertising and Marketing Services (0.4%) ........................................................................................................................ 95,500 Cross Media Marketing Corp. (NON) $897,700 ........................................................................................................................ 122,100 Cross Media Marketing Corp. (Private) (NON) 1,147,740 ------------------------------------------------------------------------------------------------------------------------ 2,045,440 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (2.2%) ........................................................................................................................ 468,300 AAR Corp. 4,776,660 ........................................................................................................................ 68,200 Heico Corp. 956,164 ........................................................................................................................ 6,490 Heico Corp. Class A 72,688 ........................................................................................................................ 235,500 Innovative Solutions & Support, Inc. (NON) 1,766,250 ........................................................................................................................ 46,400 Precision Castparts Corp. 1,531,200 ........................................................................................................................ 103,100 Teledyne Technologies, Inc. (NON) 2,139,325 ........................................................................................................................ 47,500 United Defense Industries, Inc. (NON) 1,092,500 ------------------------------------------------------------------------------------------------------------------------ 12,334,787 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.4%) ........................................................................................................................ 233,300 Airtran Holdings, Inc. (NON) 1,248,155 ........................................................................................................................ 102,800 Frontier Airlines, Inc. (NON) 835,764 ------------------------------------------------------------------------------------------------------------------------ 2,083,919 ------------------------------------------------------------------------------------------------------------------------ Automotive (2.4%) ........................................................................................................................ 23,800 BorgWarner, Inc. 1,374,688 ........................................................................................................................ 56,400 Carlisle Companies, Inc. 2,536,872 ........................................................................................................................ 82,700 CLARCOR, Inc. 2,617,455 ........................................................................................................................ 54,800 CSK Auto Corp. (NON) 763,912 ........................................................................................................................ 82,800 Sonic Automotive, Inc. (NON) 2,132,100 ........................................................................................................................ 219,400 Tower Automotive, Inc. (NON) 3,060,630 ........................................................................................................................ 70,800 Tower Automotive, Inc. (Private) (NON) 987,660 ------------------------------------------------------------------------------------------------------------------------ 13,473,317 ------------------------------------------------------------------------------------------------------------------------ Banking (7.4%) ........................................................................................................................ 117,000 AMCORE Financial, Inc. 2,710,890 ........................................................................................................................ 228,100 BankAtlantic Bancorp, Inc. Class A 2,828,440 ........................................................................................................................ 108,600 Brookline Bancorp, Inc. 2,747,580 ........................................................................................................................ 109,086 Centennial Bancorp 859,598 ........................................................................................................................ 39,000 Citizens Banking Corp. 1,116,960 ........................................................................................................................ 127,700 Commercial Federal Corp. 3,703,300 ........................................................................................................................ 72,400 Community First Bankshares 1,888,916 ........................................................................................................................ 61,600 Downey Financial Corp. 2,913,680 ........................................................................................................................ 85,200 East West Bancorp, Inc. 2,941,104 ........................................................................................................................ 73,950 Flagstar Bancorp, Inc. 1,708,245 ........................................................................................................................ 51,500 Hudson United Bancorp 1,470,840 ........................................................................................................................ 129,055 Provident Bankshares Corp. 3,057,313 ........................................................................................................................ 90,363 Republic Bancorp, Inc. 1,350,023 ........................................................................................................................ 185,600 Sovereign Bancorp, Inc. 2,774,720 ........................................................................................................................ 158,000 Sterling Bancshares, Inc. 2,333,660 ........................................................................................................................ 131,477 Washington Federal, Inc. 3,321,109 ........................................................................................................................ 100,100 Webster Financial Corp. 3,827,824 ........................................................................................................................ 28,400 Wintrust Financial Corp. 981,788 ------------------------------------------------------------------------------------------------------------------------ 42,535,990 ------------------------------------------------------------------------------------------------------------------------ Beverage (0.6%) ........................................................................................................................ 105,400 Constellation Brands, Inc. Class A (NON) 3,372,800 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.6%) ........................................................................................................................ 225,800 Sinclair Broadcast Group, Inc. (NON) 3,287,648 ------------------------------------------------------------------------------------------------------------------------ Building Materials (0.6%) ........................................................................................................................ 230,200 Apogee Enterprises, Inc. 3,305,672 ------------------------------------------------------------------------------------------------------------------------ Chemicals (5.0%) ........................................................................................................................ 525,200 Crompton Corp. 6,696,300 ........................................................................................................................ 175,000 Delta & Pine Land Co. 3,517,500 ........................................................................................................................ 103,800 Ferro Corp. 3,129,570 ........................................................................................................................ 71,500 H.B. Fuller Co. 2,094,235 ........................................................................................................................ 112,100 Mississippi Chemical Corp. (NON) 125,552 ........................................................................................................................ 582,900 Omnova Solutions, Inc. (NON) 4,896,360 ........................................................................................................................ 459,600 PolyOne Corp. 5,170,500 ........................................................................................................................ 188,400 RPM, Inc. 2,873,100 ------------------------------------------------------------------------------------------------------------------------ 28,503,117 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (2.9%) ........................................................................................................................ 62,500 1-800 Contacts, Inc. (NON) 843,262 ........................................................................................................................ 115,400 American Greetings Corp. Class A 1,922,564 ........................................................................................................................ 55,000 Banta Corp. 1,974,500 ........................................................................................................................ 126,800 ePlus, Inc. (NON) 883,796 ........................................................................................................................ 145,400 Hall, Kinion & Associates, Inc. (NON) 1,091,954 ........................................................................................................................ 126,000 John H. Harland Co. 3,553,200 ........................................................................................................................ 288,900 MPS Group, Inc. (NON) 2,455,650 ........................................................................................................................ 55,300 NCO Group, Inc. (NON) 1,221,577 ........................................................................................................................ 82,900 Rayovac Corp. (NON) 1,536,137 ........................................................................................................................ 69,300 RemedyTemp, Inc. Class A (NON) 1,261,260 ------------------------------------------------------------------------------------------------------------------------ 16,743,900 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.9%) ........................................................................................................................ 44,000 Communications Systems, Inc. 275,000 ........................................................................................................................ 219,400 Inter-Tel, Inc. 3,721,024 ........................................................................................................................ 91,300 Performance Technologies, Inc. (NON) 605,319 ........................................................................................................................ 152,100 Turnstone Systems, Inc. (NON) 658,593 ------------------------------------------------------------------------------------------------------------------------ 5,259,936 ------------------------------------------------------------------------------------------------------------------------ Computers (1.3%) ........................................................................................................................ 88,800 Anixter International, Inc. (NON) 2,086,800 ........................................................................................................................ 348,300 Gerber Scientific, Inc. (NON) 1,222,533 ........................................................................................................................ 101,600 Mentor Graphics Corp. (NON) 1,444,752 ........................................................................................................................ 127,700 MSC.Software Corp. (NON) 1,142,915 ........................................................................................................................ 12,400 Pomeroy Computer Resources, Inc. (NON) 180,792 ........................................................................................................................ 172,400 Symbol Technologies, Inc. 1,465,400 ------------------------------------------------------------------------------------------------------------------------ 7,543,192 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (1.7%) ........................................................................................................................ 359,600 GenCorp, Inc. 5,142,280 ........................................................................................................................ 332,300 Walter Industries, Inc. 4,436,205 ------------------------------------------------------------------------------------------------------------------------ 9,578,485 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.9%) ........................................................................................................................ 298,600 Metris Companies, Inc. 2,481,366 ........................................................................................................................ 487,800 Providian Financial Corp. 2,868,264 ------------------------------------------------------------------------------------------------------------------------ 5,349,630 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.7%) ........................................................................................................................ 204,400 Dial Corp. (The) 4,092,088 ........................................................................................................................ 76,900 Lancaster Colony Corp. 2,742,254 ........................................................................................................................ 127,800 Tupperware Corp. 2,656,962 ------------------------------------------------------------------------------------------------------------------------ 9,491,304 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.6%) ........................................................................................................................ 82,500 Arbitron, Inc. (NON) 2,574,000 ........................................................................................................................ 26,100 United Rentals, Inc. (NON) 568,980 ------------------------------------------------------------------------------------------------------------------------ 3,142,980 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (1.7%) ........................................................................................................................ 42,700 Hawaiian Electric Industries, Inc. 1,816,885 ........................................................................................................................ 216,900 Northwestern Corp. 3,676,455 ........................................................................................................................ 557,600 Sierra Pacific Resources 4,349,280 ------------------------------------------------------------------------------------------------------------------------ 9,842,620 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (0.7%) ........................................................................................................................ 45,700 Compudyne Corp. (Private) (NON) 712,006 ........................................................................................................................ 93,000 Lincoln Electric Holdings, Inc. 2,501,700 ........................................................................................................................ 37,000 Thomas & Betts Corp. 688,200 ------------------------------------------------------------------------------------------------------------------------ 3,901,906 ------------------------------------------------------------------------------------------------------------------------ Electronics (3.5%) ........................................................................................................................ 120,600 Avnet, Inc. 2,651,994 ........................................................................................................................ 113,200 Belden, Inc. 2,359,088 ........................................................................................................................ 434,300 General Cable Corp. 2,736,090 ........................................................................................................................ 37,500 MKS Instruments, Inc. (NON) 752,625 ........................................................................................................................ 66,900 Park Electrochemical Corp. 1,772,850 ........................................................................................................................ 195,400 PerkinElmer, Inc. 2,159,170 ........................................................................................................................ 307,900 Pioneer-Standard Electronics, Inc. 3,199,081 ........................................................................................................................ 148,600 Robotic Vision Systems, Inc. (NON) 136,712 ........................................................................................................................ 1,156,100 Robotic Vision Systems, Inc. (acquired 5/1/02, cost $1,687,906) (NON) (RES) 957,251 ........................................................................................................................ 76,900 Silicon Storage Technology, Inc. (NON) 599,820 ........................................................................................................................ 337,300 X-Rite, Inc. 2,870,423 ------------------------------------------------------------------------------------------------------------------------ 20,195,104 ------------------------------------------------------------------------------------------------------------------------ Energy (2.2%) ........................................................................................................................ 140,600 Global Industries, Ltd. (NON) 982,794 ........................................................................................................................ 44,300 GulfMark Offshore, Inc. (NON) 1,834,463 ........................................................................................................................ 75,800 Helmerich & Payne, Inc. 2,707,576 ........................................................................................................................ 56,300 Hydril Co. (NON) 1,508,840 ........................................................................................................................ 73,000 National-Oilwell, Inc. (NON) 1,536,650 ........................................................................................................................ 139,000 Newpark Resources, Inc. (NON) 1,021,650 ........................................................................................................................ 36,200 Patterson-UTI Energy, Inc. (NON) 1,021,926 ........................................................................................................................ 84,100 Pride International, Inc. (NON) 1,317,006 ........................................................................................................................ 52,400 Varco International, Inc. (NON) 919,096 ------------------------------------------------------------------------------------------------------------------------ 12,850,001 ------------------------------------------------------------------------------------------------------------------------ Engineering & Construction (0.7%) ........................................................................................................................ 36,800 Ameron International Corp. 2,658,800 ........................................................................................................................ 43,600 Texas Industries, Inc. 1,372,964 ------------------------------------------------------------------------------------------------------------------------ 4,031,764 ------------------------------------------------------------------------------------------------------------------------ Entertainment (0.3%) ........................................................................................................................ 93,700 AMC Entertainment, Inc. (NON) 1,330,540 ........................................................................................................................ 24,600 Regal Entertainment Group Class A (NON) 573,672 ------------------------------------------------------------------------------------------------------------------------ 1,904,212 ------------------------------------------------------------------------------------------------------------------------ Financial (1.3%) ........................................................................................................................ 155,600 Advanta Corp. Class B 1,700,708 ........................................................................................................................ 53,500 New Century Financial Corp. (Private) 1,870,895 ........................................................................................................................ 3,600 New Century Financial Corp. 125,892 ........................................................................................................................ 239,900 Saxon Capital, Inc. (NON) 3,903,173 ------------------------------------------------------------------------------------------------------------------------ 7,600,668 ------------------------------------------------------------------------------------------------------------------------ Food (1.3%) ........................................................................................................................ 160,700 Bunge, Ltd. 3,390,770 ........................................................................................................................ 164,100 International Multifoods Corp. 4,266,600 ------------------------------------------------------------------------------------------------------------------------ 7,657,370 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.4%) ........................................................................................................................ 99,000 GTECH Holdings Corp. (NON) 2,528,460 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (3.8%) ........................................................................................................................ 71,200 Beverly Enterprises, Inc. (NON) 541,832 ........................................................................................................................ 444,200 Britesmile, Inc. (NON) 1,052,754 ........................................................................................................................ 79,300 Britesmile, Inc. (NON) (Private) 187,941 ........................................................................................................................ 33,200 Invacare Corp. 1,228,400 ........................................................................................................................ 283,700 Omnicare, Inc. 7,449,962 ........................................................................................................................ 211,600 Owens & Minor, Inc. 4,181,216 ........................................................................................................................ 254,700 PSS World Medical, Inc. (NON) 2,063,070 ........................................................................................................................ 517,600 Stewart Enterprises, Inc. Class A (NON) 3,297,112 ........................................................................................................................ 57,700 Sunrise Assited Living, Inc. (NON) 1,546,360 ------------------------------------------------------------------------------------------------------------------------ 21,548,647 ------------------------------------------------------------------------------------------------------------------------ Homebuilding (1.1%) ........................................................................................................................ 404,100 Fleetwood Enterprises, Inc. (NON) 3,515,670 ........................................................................................................................ 123,400 Getty Realty Corp. 2,498,850 ------------------------------------------------------------------------------------------------------------------------ 6,014,520 ------------------------------------------------------------------------------------------------------------------------ Household Furniture and Appliances (0.5%) ........................................................................................................................ 93,000 Furniture Brands International, Inc. (NON) 2,813,250 ------------------------------------------------------------------------------------------------------------------------ Insurance (6.5%) ........................................................................................................................ 112,800 AmerUs Group Co. 4,184,880 ........................................................................................................................ 407,100 Ceres Group, Inc. (NON) 1,587,690 ........................................................................................................................ 48,518 FBL Financial Group, Inc. Class A 1,074,674 ........................................................................................................................ 113,900 Fidelity National Financial, Inc. 3,599,240 ........................................................................................................................ 964,500 Fremont General Corp. 4,031,610 ........................................................................................................................ 80,300 Hub Intl., Ltd. (Canada) 1,210,924 ........................................................................................................................ 93,500 Landamerica Financial Group, Inc. 2,945,250 ........................................................................................................................ 78,200 Ohio Casualty Corp. (NON) 1,634,380 ........................................................................................................................ 71,400 Philadelphia Consolidated Holding Corp. (NON) 3,237,276 ........................................................................................................................ 150,100 Presidential Life Corp. 3,042,527 ........................................................................................................................ 65,300 Stancorp Financial Group 3,624,150 ........................................................................................................................ 116,200 State Auto Financial Corp. 1,905,680 ........................................................................................................................ 550,700 Trenwick Group, Ltd. (Bermuda) 4,130,250 ........................................................................................................................ 21,100 W.R. Berkley Corp. 1,160,500 ------------------------------------------------------------------------------------------------------------------------ 37,369,031 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (0.4%) ........................................................................................................................ 47,400 Jefferies Group, Inc. 1,995,540 ------------------------------------------------------------------------------------------------------------------------ Leisure (1.2%) ........................................................................................................................ 117,800 Brunswick Corp. 3,298,400 ........................................................................................................................ 218,000 Callaway Golf Co. 3,453,120 ------------------------------------------------------------------------------------------------------------------------ 6,751,520 ------------------------------------------------------------------------------------------------------------------------ Machinery (2.1%) ........................................................................................................................ 261,700 DT Industries, Inc. (acquired 6/20/02, cost $837,440) (NON) (RES) 824,355 ........................................................................................................................ 114,400 DT Industries, Inc. (NON) 400,400 ........................................................................................................................ 57,900 Gardner Denver, Inc. (NON) 1,158,000 ........................................................................................................................ 323,000 Milacron, Inc. 3,278,450 ........................................................................................................................ 65,600 MSC Industrial Direct Co., Inc. Class A (NON) 1,279,200 ........................................................................................................................ 97,100 Regal-Beloit Corp. 2,360,501 ........................................................................................................................ 42,800 Toro Co. (The) 2,432,752 ------------------------------------------------------------------------------------------------------------------------ 11,733,658 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (2.7%) ........................................................................................................................ 61,500 AMETEK, Inc. 2,290,875 ........................................................................................................................ 30,800 Harsco Corp. 1,155,000 ........................................................................................................................ 154,100 Kaman Corp. 2,582,716 ........................................................................................................................ 69,000 Pentair, Inc. 3,317,520 ........................................................................................................................ 75,600 Tennant Co. 2,993,760 ........................................................................................................................ 97,000 York International Corp. 3,277,630 ------------------------------------------------------------------------------------------------------------------------ 15,617,501 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (3.2%) ........................................................................................................................ 65,400 Arrow International, Inc. 2,553,870 ........................................................................................................................ 48,350 Conmed Corp. (NON) 1,079,656 ........................................................................................................................ 95,500 Datascope Corp. 2,639,620 ........................................................................................................................ 48,500 Haemonetics Corp. (NON) 1,416,200 ........................................................................................................................ 97,600 Mentor Corp. 3,582,798 ........................................................................................................................ 417,600 Meridian Bioscience, Inc. 2,881,440 ........................................................................................................................ 87,400 Serologicals Corp. (NON) 1,598,546 ........................................................................................................................ 71,500 Vital Signs, Inc. 2,584,725 ------------------------------------------------------------------------------------------------------------------------ 18,336,855 ------------------------------------------------------------------------------------------------------------------------ Metals (1.7%) ........................................................................................................................ 95,100 Carpenter Technology Corp. 2,739,831 ........................................................................................................................ 46,800 Quanex Corp. 2,045,160 ........................................................................................................................ 35,500 Reliance Steel & Aluminum Co. 1,082,750 ........................................................................................................................ 73,700 Steel Dynamics, Inc. (NON) 1,213,839 ........................................................................................................................ 145,900 United States Steel Corp. 2,901,951 ------------------------------------------------------------------------------------------------------------------------ 9,983,531 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (0.3%) ........................................................................................................................ 62,000 Energen Corp. 1,705,000 ------------------------------------------------------------------------------------------------------------------------ Office Equipment & Supplies (1.5%) ........................................................................................................................ 50,200 Falcon Products, Inc. 306,220 ........................................................................................................................ 119,600 Standard Register Co. (The) 4,089,124 ........................................................................................................................ 193,200 Wallace Computer Services, Inc. 4,153,800 ------------------------------------------------------------------------------------------------------------------------ 8,549,144 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (4.0%) ........................................................................................................................ 28,400 Exco Resources, Inc. (NON) 428,556 ........................................................................................................................ 172,200 Magnum Hunter Resources, Inc. (NON) 1,358,658 ........................................................................................................................ 38,200 Newfield Exploration Co. (NON) 1,419,894 ........................................................................................................................ 40,300 Premcor, Inc. (NON) 1,036,516 ........................................................................................................................ 37,300 Quicksilver Resources, Inc. (NON) 964,205 ........................................................................................................................ 657,600 Range Resources Corp. (NON) 3,682,560 ........................................................................................................................ 132,100 Remington Oil & Gas Corp. (NON) 2,631,432 ........................................................................................................................ 143,400 St. Mary Land & Exploration Co. 3,450,204 ........................................................................................................................ 174,700 Universal Compression Holdings, Inc. (NON) 4,191,053 ........................................................................................................................ 297,200 Vintage Petroleum, Inc. 3,536,680 ------------------------------------------------------------------------------------------------------------------------ 22,699,758 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (--%) ........................................................................................................................ 15,800 BWAY Corp. (NON) 252,010 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (0.7%) ........................................................................................................................ 248,400 Alpharma, Inc. Class A 4,217,832 ------------------------------------------------------------------------------------------------------------------------ Photography/Imaging (1.3%) ........................................................................................................................ 478,800 BMC Industries, Inc. 459,648 ........................................................................................................................ 587,100 Ikon Office Solutions, Inc. 5,518,740 ........................................................................................................................ 46,400 Imation Corp. (NON) 1,380,864 ------------------------------------------------------------------------------------------------------------------------ 7,359,252 ------------------------------------------------------------------------------------------------------------------------ Publishing (0.4%) ........................................................................................................................ 186,200 Playboy Enterprises, Inc. Class B (NON) 2,374,050 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.4%) ........................................................................................................................ 32,650 Genesee & Wyoming, Inc. Class A (NON) 736,584 ........................................................................................................................ 105,000 Rail America, Inc. (Private) (NON) 1,136,100 ........................................................................................................................ 46,900 Rail America, Inc. (Private) (NON) 507,458 ------------------------------------------------------------------------------------------------------------------------ 2,380,142 ------------------------------------------------------------------------------------------------------------------------ Real Estate (3.1%) ........................................................................................................................ 61,400 Alexandria Real Estate Equities, Inc. (R) 3,029,476 ........................................................................................................................ 122,000 Anworth Mortgage Asset Corp. (R) 1,706,780 ........................................................................................................................ 174,500 Apex Mortgage Capital, Inc. 2,615,755 ........................................................................................................................ 94,700 Entertainment Properties Trust (R) 2,334,355 ........................................................................................................................ 71,000 FBR Asset Investment Corp. 2,367,850 ........................................................................................................................ 40,600 LNR Property Corp. 1,400,700 ........................................................................................................................ 22,000 Meritage Corp. (NON) 1,004,300 ........................................................................................................................ 107,700 Mills Corp. 3,338,700 ------------------------------------------------------------------------------------------------------------------------ 17,797,916 ------------------------------------------------------------------------------------------------------------------------ Restaurants (0.4%) ........................................................................................................................ 23,300 CBRL Group, Inc. 709,019 ........................................................................................................................ 46,200 Sonic Corp. (NON) 1,451,142 ------------------------------------------------------------------------------------------------------------------------ 2,160,161 ------------------------------------------------------------------------------------------------------------------------ Retail (6.6%) ........................................................................................................................ 22,100 Aaron Rents, Inc. 529,295 ........................................................................................................................ 184,400 Claire's Stores, Inc. 4,222,760 ........................................................................................................................ 66,100 Coldwater Creek, Inc. (NON) 1,612,840 ........................................................................................................................ 156,300 dELiA(a)s Corp. Class A (NON) 797,130 ........................................................................................................................ 377,000 Designs, Inc. (acquired 5/7/02, cost $1,639,950) (NON) (RES) 2,296,722 ........................................................................................................................ 79,800 Dillards, Inc. Class A 2,097,942 ........................................................................................................................ 167,900 Fleming Companies, Inc. 3,047,385 ........................................................................................................................ 54,400 Gart Sports Co. (NON) 1,549,856 ........................................................................................................................ 93,200 Hughes Supply, Inc. 4,184,680 ........................................................................................................................ 106,300 Longs Drug Stores, Inc. 3,007,227 ........................................................................................................................ 232,100 Nu Skin Enterprises, Inc. Class A 3,377,055 ........................................................................................................................ 101,000 Pathmark Stores, Inc. (NON) 1,899,810 ........................................................................................................................ 192,800 Pier 1 Imports, Inc. 4,048,800 ........................................................................................................................ 42,100 Regis Corp. 1,137,500 ........................................................................................................................ 230,400 Ruddick Corp. 3,907,584 ........................................................................................................................ 194,700 Spiegel, Inc. Class A 142,131 ------------------------------------------------------------------------------------------------------------------------ 37,858,717 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (1.2%) ........................................................................................................................ 158,550 Cohu, Inc. 2,739,744 ........................................................................................................................ 27,800 DuPont Photomasks, Inc. (NON) 921,848 ........................................................................................................................ 152,700 Helix Technology Corp. 3,145,620 ------------------------------------------------------------------------------------------------------------------------ 6,807,212 ------------------------------------------------------------------------------------------------------------------------ Shipping (3.1%) ........................................................................................................................ 299,900 EGL, Inc. (NON) 5,086,304 ........................................................................................................................ 244,400 General Maritime Corp. (NON) 2,346,240 ........................................................................................................................ 31,500 Landstar Systems, Inc. (NON) 3,365,775 ........................................................................................................................ 106,100 Stelmar Shipping, Ltd. (Greece) (NON) 1,574,524 ........................................................................................................................ 55,900 Tsakos Energy Navigation, Ltd. (Norway) (NON) 782,600 ........................................................................................................................ 116,200 USFreightways Corp. 4,400,494 ------------------------------------------------------------------------------------------------------------------------ 17,555,937 ------------------------------------------------------------------------------------------------------------------------ Software (3.5%) ........................................................................................................................ 495,300 Aether Systems, Inc. (NON) 1,461,135 ........................................................................................................................ 986,100 Ascential Software Corp. (NON) 2,751,219 ........................................................................................................................ 217,100 Aspen Technology, Inc. (NON) 1,810,614 ........................................................................................................................ 238,800 Autodesk, Inc. 3,164,100 ........................................................................................................................ 329,600 Borland Software Corp. (NON) 3,394,880 ........................................................................................................................ 102,900 Centra Software, Inc. (NON) 191,394 ........................................................................................................................ 137,100 FileNET Corp. (NON) 1,987,950 ........................................................................................................................ 45,400 Hyperion Solutions Corp. (NON) 827,973 ........................................................................................................................ 69,800 JDA Software Group, Inc. (NON) 1,972,548 ........................................................................................................................ 181,400 Matrixone, Inc. (NON) 1,106,540 ........................................................................................................................ 200,000 ONYX Software Corp. (NON) 676,000 ........................................................................................................................ 99,000 S1 Corp. (NON) 731,610 ------------------------------------------------------------------------------------------------------------------------ 20,075,963 ------------------------------------------------------------------------------------------------------------------------ Technology Services (2.3%) ........................................................................................................................ 159,100 Acxiom Corp. (NON) 2,782,659 ........................................................................................................................ 104,200 American Management Systems (NON) 1,991,262 ........................................................................................................................ 180,800 Ciber, Inc. (Private) (NON) 1,179,720 ........................................................................................................................ 149,600 Ciber, Inc. (NON) 1,084,600 ........................................................................................................................ 152,400 Keane, Inc. (NON) 1,889,760 ........................................................................................................................ 230,500 MTS Systems Corp. 3,033,380 ........................................................................................................................ 424,100 Silicon Graphics Corp. (NON) 1,246,854 ------------------------------------------------------------------------------------------------------------------------ 13,208,235 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.4%) ........................................................................................................................ 256,100 General Communication, Inc. Class A (NON) 1,708,187 ........................................................................................................................ 808,600 Loral Space & Communications, Ltd. (NON) 800,514 ........................................................................................................................ 2,500 OpticNet, Inc. (NON) -- ------------------------------------------------------------------------------------------------------------------------ 2,508,701 ------------------------------------------------------------------------------------------------------------------------ Textiles (1.9%) ........................................................................................................................ 187,000 Interface, Inc. Class A 1,503,480 ........................................................................................................................ 125,600 Kellwood Co. 4,082,000 ........................................................................................................................ 58,600 Tropical Sportswear Intl. Corp. (NON) 1,300,334 ........................................................................................................................ 226,200 Wolverine World Wide, Inc. 3,947,190 ------------------------------------------------------------------------------------------------------------------------ 10,833,004 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $518,133,707) $549,071,309 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE PREFERRED STOCKS (0.3%) (a) (cost $2,685,630) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 128,470 Exco Resources, Inc. $5.00 cum. cv. pfd. $2,007,344 ------------------------------------------------------------------------------------------------------------------------ WARRANTS (--%) (a) (NON) ------------------------------------------------------------------------------------------------------------------------ Number Of Warrants Expiration Date Value ........................................................................................................................ 27,100 Magnum Hunter Resources, Inc. 3/21/05 $22,491 ........................................................................................................................ 1 Robotic Vision (acquired 5/1/02, cost $--) (RES) 5/1/05 1 ........................................................................................................................ 1 Robotic Vision (acquired 5/1/02, cost $--) (RES) 6/30/02 1 ------------------------------------------------------------------------------------------------------------------------ Total Warrants (cost $23,492) $22,493 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (9.1%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $31,951,179 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $31,931,766 ........................................................................................................................ 19,972,696 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 19,972,696 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $51,904,462) $51,904,462 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $572,747,291) (b) $603,005,608 ------------------------------------------------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Technology Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (95.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Commercial and Consumer Services (1.0%) ........................................................................................................................ 4,600 Paychex, Inc. $143,934 ........................................................................................................................ 2,000 Tech Data Corp. (NON) 75,700 ------------------------------------------------------------------------------------------------------------------------ 219,634 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (11.7%) ........................................................................................................................ 129,010 Cisco Systems, Inc. (NON) 1,799,690 ........................................................................................................................ 13,600 Nokia OYJ ADR (Finland) 196,928 ........................................................................................................................ 82,600 Nortel Networks Corp. (Canada) (NON) 119,770 ........................................................................................................................ 13,060 QUALCOMM, Inc. (NON) 359,019 ........................................................................................................................ 44,200 Telefonaktiebolaget LM Ericsson AB ADR (Sweden) (NON) 63,648 ------------------------------------------------------------------------------------------------------------------------ 2,539,055 ------------------------------------------------------------------------------------------------------------------------ Computers (27.3%) ........................................................................................................................ 5,585 Brocade Communications Systems, Inc. (NON) 97,626 ........................................................................................................................ 51,115 Dell Computer Corp. (NON) 1,336,146 ........................................................................................................................ 46,875 EMC Corp. (NON) 353,906 ........................................................................................................................ 99,061 Hewlett-Packard Co. 1,513,652 ........................................................................................................................ 19,520 IBM Corp. 1,405,440 ........................................................................................................................ 12,515 Lexmark International, Inc. (NON) 680,816 ........................................................................................................................ 5,550 NCR Corp. (NON) 192,030 ........................................................................................................................ 10,600 Network Appliance, Inc. (NON) 131,864 ........................................................................................................................ 45,600 Sun Microsystems, Inc. (NON) 228,456 ------------------------------------------------------------------------------------------------------------------------ 5,939,936 ------------------------------------------------------------------------------------------------------------------------ Electronics (23.8%) ........................................................................................................................ 5,400 Analog Devices, Inc. (NON) 160,380 ........................................................................................................................ 7,115 Celestica, Inc. (Canada) (NON) 161,582 ........................................................................................................................ 5,700 Integrated Device Technology, Inc. (NON) 103,398 ........................................................................................................................ 95,850 Intel Corp. 1,751,180 ........................................................................................................................ 3,070 International Rectifier Corp. (NON) 89,491 ........................................................................................................................ 6,810 Jabil Circuit, Inc. (NON) 143,759 ........................................................................................................................ 10,860 Linear Technology Corp. 341,330 ........................................................................................................................ 4,880 Marvell Technology Group, Ltd. (Bermuda) (NON) 97,063 ........................................................................................................................ 10,560 Maxim Integrated Products, Inc. (NON) 404,765 ........................................................................................................................ 57,600 Motorola, Inc. 830,592 ........................................................................................................................ 32,585 Skyworks Solutions, Inc. (NON) 180,847 ........................................................................................................................ 37,745 Texas Instruments, Inc. 894,557 ------------------------------------------------------------------------------------------------------------------------ 5,158,944 ------------------------------------------------------------------------------------------------------------------------ Software (23.6%) ........................................................................................................................ 3,400 Activision, Inc. (NON) 98,804 ........................................................................................................................ 3,600 Adobe Systems, Inc. 102,600 ........................................................................................................................ 3,700 Amdocs, Ltd. (Guernsey) (NON) 27,935 ........................................................................................................................ 9,800 BEA Systems, Inc. (NON) 93,198 ........................................................................................................................ 21,200 BMC Software, Inc. (NON) 351,920 ........................................................................................................................ 28,000 Computer Associates International, Inc. 444,920 ........................................................................................................................ 1,900 Electronic Arts, Inc. (NON) 125,495 ........................................................................................................................ 2,250 Mercury Interactive Corp. (NON) 51,660 ........................................................................................................................ 45,560 Microsoft Corp. (NON) 2,492,130 ........................................................................................................................ 74,900 Oracle Corp. (NON) 709,303 ........................................................................................................................ 9,950 PeopleSoft, Inc. (NON) 148,056 ........................................................................................................................ 4,600 Rational Software Corp. (NON) 37,766 ........................................................................................................................ 21,615 Siebel Systems, Inc. (NON) 307,365 ........................................................................................................................ 7,170 VERITAS Software Corp. (NON) 141,894 ------------------------------------------------------------------------------------------------------------------------ 5,133,046 ------------------------------------------------------------------------------------------------------------------------ Technology Services (8.5%) ........................................................................................................................ 17,405 Automatic Data Processing, Inc. 757,988 ........................................................................................................................ 8,350 BISYS Group, Inc. (The) (NON) 278,055 ........................................................................................................................ 6,590 Convergys Corp. (NON) 128,373 ........................................................................................................................ 12,025 Electronic Data Systems Corp. 446,729 ........................................................................................................................ 16,214 KPMG Consulting, Inc. (NON) 240,940 ------------------------------------------------------------------------------------------------------------------------ 1,852,085 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $28,004,496) $20,842,700 ------------------------------------------------------------------------------------------------------------------------ UNITS (0.8%) (a) (cost $147,155) ------------------------------------------------------------------------------------------------------------------------ Number of Units Value ........................................................................................................................ 81,400 Taiwan Semiconductor Manufacturing Co., Ltd. structured warrants (issued by Merrill Lynch International Co. CV) expiration 7/26/02 (Taiwan) $182,515 ------------------------------------------------------------------------------------------------------------------------ CONVERTIBLE PREFERRED STOCKS (0.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 31,660 MarketSoft Software Corp. Ser. D, zero % cv. pfd. (acquired 12/7/00, cost $154,501) (RES) $79,150 ........................................................................................................................ 16,600 Totality Corp. Ser. D, $0.346 cum. cv. pfd. (acquired 7/27/00, cost $71,830) (RES) 11,620 ------------------------------------------------------------------------------------------------------------------------ Total Convertible Preferred Stocks (cost $226,331) $90,770 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (4.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $453,924 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $453,648 ........................................................................................................................ 613,011 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 613,011 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $1,066,659) $1,066,659 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $29,444,641) (b) $22,182,644 ------------------------------------------------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Utilities Growth and Income Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (84.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Broadcasting (0.1%) ........................................................................................................................ 36,000 Echostar Communications Corp. Class A (NON) $668,160 ------------------------------------------------------------------------------------------------------------------------ Combined Utilities (0.3%) ........................................................................................................................ 200,300 United Utilities 1,865,121 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (53.5%) ........................................................................................................................ 65,500 Alliant Energy Corp. 1,683,350 ........................................................................................................................ 126,800 Ameren Corp. 5,453,668 ........................................................................................................................ 277,700 American Electric Power Company, Inc. 11,113,554 ........................................................................................................................ 700,884 Aquila, Inc. 5,607,072 ........................................................................................................................ 171,300 Consolidated Edison, Inc. 7,151,775 ........................................................................................................................ 82,200 Constellation Energy Group, Inc. 2,411,748 ........................................................................................................................ 293,900 Dominion Resources, Inc. 19,456,180 ........................................................................................................................ 156,827 DTE Energy Co. 7,000,757 ........................................................................................................................ 882,300 Duke Energy Corp. 27,439,530 ........................................................................................................................ 1,119,100 Edison International (NON) 19,024,700 ........................................................................................................................ 9,200 Electrabel SA (Belgium) 2,125,675 ........................................................................................................................ 176,800 Energy East Corp. 3,995,680 ........................................................................................................................ 510,000 Entergy Corp. 21,644,400 ........................................................................................................................ 340,887 Exelon Corp. 17,828,390 ........................................................................................................................ 370,600 FirstEnergy Corp. 12,370,628 ........................................................................................................................ 298,300 FPL Group, Inc. 17,895,017 ........................................................................................................................ 165,000 Iberdrola SA (Spain) 2,403,085 ........................................................................................................................ 108,500 Korea Electric Power Corp. (South Korea) 1,987,510 ........................................................................................................................ 1,004,800 PG&E Corp. (NON) 17,975,872 ........................................................................................................................ 112,500 Pinnacle West Capital Corp. 4,443,750 ........................................................................................................................ 68,500 PNM Resources, Inc. 1,657,700 ........................................................................................................................ 51,700 PPL Corp. 1,710,236 ........................................................................................................................ 274,900 Progress Energy, Inc. 14,297,549 ........................................................................................................................ 134,600 Public Power Corp. 144A GDR (Greece) (NON) 1,754,333 ........................................................................................................................ 111,700 Public Service Enterprise Group, Inc. 4,836,610 ........................................................................................................................ 732,200 Reliant Energy, Inc. 12,374,180 ........................................................................................................................ 929,800 Sierra Pacific Resources 7,252,440 ........................................................................................................................ 401,900 Southern Co. (The) 11,012,060 ........................................................................................................................ 63,800 Teco Energy, Inc. 1,579,050 ........................................................................................................................ 232,000 TXU Corp. 11,959,600 ........................................................................................................................ 252,755 XCEL Energy, Inc. 4,238,701 ------------------------------------------------------------------------------------------------------------------------ 281,684,800 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (7.0%) ........................................................................................................................ 312,863 Dynegy, Inc. Class A 2,252,614 ........................................................................................................................ 541,094 El Paso Corp. 11,151,947 ........................................................................................................................ 104,900 KeySpan Corp. 3,949,485 ........................................................................................................................ 99,484 Kinder Morgan Management, LLC 3,034,262 ........................................................................................................................ 79,850 New Jersey Resources Corp. 2,383,523 ........................................................................................................................ 347,931 NiSource, Inc. 7,595,334 ........................................................................................................................ 49,700 Piedmont Natural Gas Co., Inc. 1,837,906 ........................................................................................................................ 20,300 South Jersey Industries, Inc. 685,125 ........................................................................................................................ 40,700 Vectren Corp. 1,021,570 ........................................................................................................................ 58,200 WGL Holdings, Inc. 1,507,380 ........................................................................................................................ 203,000 Williams Companies, Inc. (The) 1,215,970 ------------------------------------------------------------------------------------------------------------------------ 36,635,116 ------------------------------------------------------------------------------------------------------------------------ Power Producers (0.2%) ........................................................................................................................ 153,286 Mirant Corp. (NON) 1,118,988 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (9.1%) ........................................................................................................................ 406,950 BellSouth Corp. 12,818,925 ........................................................................................................................ 557,350 SBC Communications, Inc. 16,999,175 ........................................................................................................................ 450,200 Verizon Communications, Inc. 18,075,530 ------------------------------------------------------------------------------------------------------------------------ 47,893,630 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (13.4%) ........................................................................................................................ 45,100 ALLTEL Corp. 2,119,700 ........................................................................................................................ 345,400 AT&T Corp. 3,695,780 ........................................................................................................................ 358,200 AT&T Wireless Services, Inc. (NON) 2,095,470 ........................................................................................................................ 428,800 BT Group PLC (United Kingdom) 1,646,798 ........................................................................................................................ 69,800 CenturyTel, Inc. 2,059,100 ........................................................................................................................ 184,000 Citizens Communications Co. (NON) 1,538,240 ........................................................................................................................ 305 Japan Telecom Co., Ltd. (Japan) 872,883 ........................................................................................................................ 33,000 KT Corp. (South Korea) 1,327,144 ........................................................................................................................ 3,301 NTT DoCoMo, Inc. (Japan) 8,125,115 ........................................................................................................................ 198,700 Orange SA (France) (NON) 914,275 ........................................................................................................................ 702,300 Portugal Telecom, SGPS SA ADR (Portugal) 4,993,353 ........................................................................................................................ 21,700 SK Telecom Co., Ltd. (South Korea) 4,869,401 ........................................................................................................................ 80,100 Sprint Corp. (FON Group) (SEG) 849,861 ........................................................................................................................ 108,400 Sprint Corp. (PCS Group) (NON) 484,548 ........................................................................................................................ 5,706 Swisscom AG (Switzerland) 1,660,639 ........................................................................................................................ 120,800 TDC A/S (Denmark) 3,341,188 ........................................................................................................................ 555,100 Telecom Corp. of New Zealand, Ltd. (New Zealand) 1,327,819 ........................................................................................................................ 768,300 Telecom Italia Mobile SpA (Italy) 3,148,271 ........................................................................................................................ 667,200 Telecom Italia SpA (Italy) 5,224,231 ........................................................................................................................ 216,954 Telefonica SA (Spain) (NON) 1,820,873 ........................................................................................................................ 35,000 Telefonos de Mexico SA de CV (Telmex) ADR Class L (Mexico) 1,122,800 ........................................................................................................................ 12,619,907 Vodafone Group PLC (United Kingdom) 17,309,464 ------------------------------------------------------------------------------------------------------------------------ 70,546,953 ------------------------------------------------------------------------------------------------------------------------ Water Utilities (0.9%) ........................................................................................................................ 240,575 Philadelphia Suburban Corp. 4,859,615 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $436,191,260) $445,272,383 ------------------------------------------------------------------------------------------------------------------------ Corporate Bonds and Notes (13.5%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ Electric Utilities (9.2%) ........................................................................................................................ $1,630,000 AmerenEnergy Generating Co. sr. notes Ser. C, 7 3/4s, 2005 $1,743,119 ........................................................................................................................ 1,660,000 American Electric Power Company, Inc. notes Ser. A, 6 1/8s, 2006 1,688,120 ........................................................................................................................ 2,000,000 Arizona Public Service Co. notes 6 1/4s, 2005 2,084,720 ........................................................................................................................ 1,000,000 Avista Corp. sr. notes 9 3/4s, 2008 1,066,030 ........................................................................................................................ 1,600,000 CILCORP, Inc. sr. notes 8.7s, 2009 1,733,520 ........................................................................................................................ 2,000,000 Cinergy Corp. deb. 6 1/8s, 2004 2,027,660 ........................................................................................................................ 1,200,000 CMS Energy Corp. pass-through certificates 7s, 2005 864,000 ........................................................................................................................ 1,200,000 Conectiv, Inc. notes Ser. A, 6.73s, 2006 1,213,896 ........................................................................................................................ 1,000,000 Connecticut Light & Power Co. 1st mtge. Ser. D, 7 7/8s, 2024 1,071,710 ........................................................................................................................ 1,660,000 Dominion Resources, Inc. sr. notes 8 1/8s, 2010 1,853,257 ........................................................................................................................ 1,880,000 DPL, Inc. bonds 8 1/8s, 2031 1,821,514 ........................................................................................................................ 2,025,000 Duquesne Light Co. 1st mtge. Ser. O, 6.7s, 2012 2,112,980 ........................................................................................................................ 1,665,000 Exelon Corp. sr. notes 6 3/4s, 2011 1,725,889 ........................................................................................................................ 1,630,000 FirstEnergy Corp. notes Ser. B, 6.45s, 2011 1,559,943 ........................................................................................................................ 820,000 Florida Power & Light Co. 1st mtge. 6 7/8s, 2005 879,884 ........................................................................................................................ 3,000,000 Hydro Quebec local government guaranty Ser. HY, 8.4s, 2022 (Canada) 3,697,890 ........................................................................................................................ 1,195,000 Kansas Gas & Electric debs. 8.29s, 2016 1,082,909 ........................................................................................................................ 1,650,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 1,699,500 ........................................................................................................................ 2,920,000 New Century Energies, Inc. coll. trust 6 3/8s, 2005 2,988,065 ........................................................................................................................ 1,500,000 Niagara Mohawk Power Corp. sr. notes Ser. G, 7 3/4s, 2008 1,663,545 ........................................................................................................................ 1,300,000 Nisource Finance Corp. company guaranty 7 7/8s, 2010 1,339,949 ........................................................................................................................ 2,000,000 Northwestern Corp. 144A notes 8 3/4s, 2012 1,778,329 ........................................................................................................................ 2,000,000 PG&E Gas Transmission Northwest sr. notes 7.1s, 2005 2,050,580 ........................................................................................................................ 1,500,000 Sierra Pacific Power Co. med. term notes Ser. C, 6.82s, 2006 1,380,960 ........................................................................................................................ 1,660,000 Southern Investments Service Co. sr. notes 6.8s, 2006 (United Kingdom) 1,694,661 ........................................................................................................................ 1,240,000 Tampa Electric Co. notes 6 7/8s, 2012 1,293,556 ........................................................................................................................ 2,388,710 Texas Utilities Co. secd. lease fac. bonds 7.46s, 2015 2,435,481 ........................................................................................................................ 2,000,000 Western Resources, Inc. sr. notes 6 7/8s, 2004 1,888,400 ------------------------------------------------------------------------------------------------------------------------ 48,440,067 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (1.1%) ........................................................................................................................ 710,000 CMS Panhandle Holding Corp. sr. notes 6 1/8s, 2004 628,023 ........................................................................................................................ 1,500,000 Columbia Energy Group notes Ser. E, 7.32s, 2010 1,476,465 ........................................................................................................................ 380,000 KN Capital Trust III company guaranty 7.63s, 2028 353,362 ........................................................................................................................ 400,000 Nisource Capital Markets, Inc. notes Ser. MTN, 7.69s, 2005 420,057 ........................................................................................................................ 1,625,000 ONEOK, Inc. sr. notes 7 1/8s, 2011 1,666,389 ........................................................................................................................ 1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,549,620 ------------------------------------------------------------------------------------------------------------------------ 6,093,916 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (0.3%) ........................................................................................................................ 1,250,000 Louis Dreyfus Natural Gas Corp. notes 6 7/8s, 2007 1,330,688 ------------------------------------------------------------------------------------------------------------------------ Power Producers (0.3%) ........................................................................................................................ 800,000 Calpine Corp. sr. notes 7 3/4s, 2009 504,000 ........................................................................................................................ 305,000 Midland Funding II debs. Ser. A, 11 3/4s, 2005 277,550 ........................................................................................................................ 598,087 Salton Sea Funding Corp. company guaranty Ser. E, 8.3s, 2011 599,684 ------------------------------------------------------------------------------------------------------------------------ 1,381,234 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (0.5%) ........................................................................................................................ 3,200,000 Qwest Capital Funding, Inc. company guaranty 7s, 2009 1,744,000 ........................................................................................................................ 810,000 Verizon Global Funding Corp. notes 7 1/4s, 2010 807,214 ------------------------------------------------------------------------------------------------------------------------ 2,551,214 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (1.2%) ........................................................................................................................ 1,660,000 AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011 1,348,764 ........................................................................................................................ 815,000 British Telecommunications PLC notes 8 3/8s, 2010 (United Kingdom) 889,761 ........................................................................................................................ 2,000,000 Century Telephone Enterprises, Inc. deb. Ser. G, 6 7/8s, 2028 1,630,300 ........................................................................................................................ 1,245,000 Citizens Communications Co. notes 9 1/4s, 2011 1,193,880 ........................................................................................................................ 1,660,000 France Telecom FRN 7 3/4s, 2011 (France) 1,468,901 ------------------------------------------------------------------------------------------------------------------------ 6,531,606 ------------------------------------------------------------------------------------------------------------------------ Telephone (0.6%) ........................................................................................................................ 2,650,000 New England Telephone and Telegraph Co. deb. 7 7/8s, 2029 2,663,595 ........................................................................................................................ 1,250,000 WorldCom, Inc. notes 7 3/4s, 2007 (In default) (NON) 200,000 ........................................................................................................................ 1,660,000 WorldCom, Inc.-WorldCom Group notes 7 1/2s, 2011 (In default) (NON) 265,600 ------------------------------------------------------------------------------------------------------------------------ 3,129,195 ------------------------------------------------------------------------------------------------------------------------ Water Utilities (0.3%) ........................................................................................................................ 1,500,000 Pennsylvania-American Water Co. 144A mtge. 7.8s, 2026 1,571,895 ------------------------------------------------------------------------------------------------------------------------ Total Corporate Bonds and Notes (cost $75,500,671) $71,029,815 ------------------------------------------------------------------------------------------------------------------------ Preferred Stocks (0.3%) (a) (cost $1,500,000) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ 1,500 Centaur Funding Corp. 144A Ser. B, 9.08% pfd. (Cayman Islands) $1,692,015 ------------------------------------------------------------------------------------------------------------------------ Short-Term Investments (1.9%) (a) (cost $9,806,360) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $9,812,322 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $9,806,360 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $522,998,291) (b) $527,800,573 ------------------------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Unrealized Face Expiration Appreciation/ Market Value Value Date (Depreciation) .............................................................................. U.S. Treasury Bond (Long) $4,419,594 $4,313,748 Sep 02 $105,846 .............................................................................. U.S. Treasury Note 10yr (Short) 2,573,625 2,511,093 Sep 02 (62,532) .............................................................................. U.S. Treasury Note 5yr (Long) 2,148,438 2,107,812 Sep 02 40,626 ------------------------------------------------------------------------------ $83,940 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Vista Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (98.8%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Advertising and Marketing Services (0.9%) ........................................................................................................................ 20,723 Interpublic Group Companies, Inc. $513,101 ........................................................................................................................ 125,700 Lamar Advertising Co. (NON) 4,677,297 ------------------------------------------------------------------------------------------------------------------------ 5,190,398 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (0.6%) ........................................................................................................................ 51,200 L-3 Communications Holdings, Inc. (NON) 2,764,800 ........................................................................................................................ 4,588 Northrop Grumman Corp. 573,500 ------------------------------------------------------------------------------------------------------------------------ 3,338,300 ------------------------------------------------------------------------------------------------------------------------ Automotive (0.2%) ........................................................................................................................ 27,200 Lear Corp. (NON) 1,258,000 ------------------------------------------------------------------------------------------------------------------------ Banking (5.8%) ........................................................................................................................ 101,805 Charter One Financial, Inc. 3,500,056 ........................................................................................................................ 66,500 First Tennessee National Corp. 2,546,950 ........................................................................................................................ 30,700 Greenpoint Financial Corp. 1,507,370 ........................................................................................................................ 101,200 Investors Financial Services Corp. 3,394,248 ........................................................................................................................ 65,070 M&T Bank Corp. 5,580,403 ........................................................................................................................ 109,400 North Fork Bancorporation, Inc. 4,355,214 ........................................................................................................................ 47,600 Northern Trust Corp. 2,097,256 ........................................................................................................................ 36,600 South Trust Corp. 955,992 ........................................................................................................................ 157,500 Zions Bancorporation 8,205,750 ------------------------------------------------------------------------------------------------------------------------ 32,143,239 ------------------------------------------------------------------------------------------------------------------------ Beverage (0.6%) ........................................................................................................................ 110,400 Pepsi Bottling Group, Inc. (The) 3,400,320 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (5.5%) ........................................................................................................................ 68,717 Abgenix, Inc. (NON) 673,427 ........................................................................................................................ 12,100 Affymetrix, Inc. (NON) 290,279 ........................................................................................................................ 17,500 Applera Corporation-Applied Biosystems Group 341,075 ........................................................................................................................ 17,800 Celgene Corp. (NON) 272,340 ........................................................................................................................ 9,400 Chiron Corp. (NON) 332,290 ........................................................................................................................ 151,007 Genzyme Corp. (NON) 2,905,375 ........................................................................................................................ 200,800 Gilead Sciences, Inc. (NON) 6,602,304 ........................................................................................................................ 151,900 IDEC Pharmaceuticals Corp. (NON) 5,384,855 ........................................................................................................................ 87,200 IDEXX Laboratories, Inc. (NON) 2,248,888 ........................................................................................................................ 129,278 Immunex Corp. (NON) 2,888,071 ........................................................................................................................ 18,784 Invitrogen Corp. (NON) 601,276 ........................................................................................................................ 23,900 Ligand Pharmaceuticals, Inc. Class B (NON) 346,550 ........................................................................................................................ 229,600 MedImmune, Inc. (NON) 6,061,440 ........................................................................................................................ 27,800 Protein Design Labs, Inc. (NON) 301,908 ........................................................................................................................ 27,200 QIAGEN NV (Netherlands) (NON) 316,880 ........................................................................................................................ 24,900 Scios, Inc. (NON) 762,189 ........................................................................................................................ 6,500 Trimeris, Inc. (NON) 288,535 ------------------------------------------------------------------------------------------------------------------------ 30,617,682 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (0.3%) ........................................................................................................................ 19,352 Univision Communications, Inc. Class A (NON) 607,653 ........................................................................................................................ 32,190 Westwood One, Inc. (NON) 1,075,790 ------------------------------------------------------------------------------------------------------------------------ 1,683,443 ------------------------------------------------------------------------------------------------------------------------ Cable Television (--%) ........................................................................................................................ 39,500 Charter Communications, Inc. Class A (NON) 161,160 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (3.0%) ........................................................................................................................ 49,800 CDW Computer Centers, Inc. (NON) 2,331,138 ........................................................................................................................ 15,700 Choicepoint, Inc. (NON) 713,879 ........................................................................................................................ 115,500 Cintas Corp. 5,709,165 ........................................................................................................................ 169,957 Ecolab, Inc. 7,857,112 ------------------------------------------------------------------------------------------------------------------------ 16,611,294 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (0.7%) ........................................................................................................................ 342,600 Extreme Networks, Inc. (NON) 3,456,834 ........................................................................................................................ 84,300 Sonus Networks, Inc. (NON) 170,286 ------------------------------------------------------------------------------------------------------------------------ 3,627,120 ------------------------------------------------------------------------------------------------------------------------ Computers (3.7%) ........................................................................................................................ 25,800 Brocade Communications Systems, Inc. (NON) 450,984 ........................................................................................................................ 192,200 Emulex Corp. (NON) 4,326,422 ........................................................................................................................ 136,900 Lexmark International, Inc. (NON) 7,447,360 ........................................................................................................................ 125,800 McDATA Corp. Class A (NON) 1,108,298 ........................................................................................................................ 50,400 Mentor Graphics Corp. (NON) 716,688 ........................................................................................................................ 28,400 Network Appliance, Inc. (NON) 353,296 ........................................................................................................................ 136,700 QLogic Corp. (NON) 5,208,270 ........................................................................................................................ 70,700 Symbol Technologies, Inc. 600,950 ........................................................................................................................ 56,173 VeriSign, Inc. (NON) 403,884 ------------------------------------------------------------------------------------------------------------------------ 20,616,152 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (1.4%) ........................................................................................................................ 189,200 AmeriCredit Corp. (NON) 5,307,060 ........................................................................................................................ 33,200 Capital One Financial Corp. 2,026,860 ........................................................................................................................ 62,179 Metris Companies, Inc. 516,707 ------------------------------------------------------------------------------------------------------------------------ 7,850,627 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (2.1%) ........................................................................................................................ 12,200 Alberto-Culver Co. Class B 583,160 ........................................................................................................................ 172,300 Estee Lauder Companies, Inc. (The) Class A 6,064,960 ........................................................................................................................ 9,400 Fortune Brands, Inc. 526,400 ........................................................................................................................ 122,500 Newell Rubbermaid, Inc. 4,294,850 ------------------------------------------------------------------------------------------------------------------------ 11,469,370 ------------------------------------------------------------------------------------------------------------------------ Distribution (0.7%) ........................................................................................................................ 150,830 SYSCO Corp. 4,105,593 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (2.0%) ........................................................................................................................ 124,400 Entergy Corp. 5,279,536 ........................................................................................................................ 107,800 Progress Energy, Inc. 5,606,678 ------------------------------------------------------------------------------------------------------------------------ 10,886,214 ------------------------------------------------------------------------------------------------------------------------ Electronics (6.5%) ........................................................................................................................ 282,000 Applied Micro Circuits Corp. (NON) 1,333,860 ........................................................................................................................ 179,800 Broadcom Corp. Class A (NON) 3,153,692 ........................................................................................................................ 53,900 Brooks-PRI Automation, Inc. (NON) 1,377,684 ........................................................................................................................ 85,700 Celestica, Inc. (Canada) (NON) 1,946,247 ........................................................................................................................ 16,700 FEI Co. (NON) 409,317 ........................................................................................................................ 119,800 Integrated Device Technology, Inc. (NON) 2,173,172 ........................................................................................................................ 51,700 Jabil Circuit, Inc. (NON) 1,091,387 ........................................................................................................................ 134,800 Linear Technology Corp. 4,236,764 ........................................................................................................................ 348,500 LSI Logic Corp. (NON) 3,049,375 ........................................................................................................................ 113,300 Marvell Technology Group, Ltd. (Bermuda) (NON) 2,253,537 ........................................................................................................................ 26,600 Maxim Integrated Products, Inc. (NON) 1,019,578 ........................................................................................................................ 206,100 Micrel, Inc. (NON) 2,963,718 ........................................................................................................................ 88,800 Microchip Technology, Inc. (NON) 2,435,784 ........................................................................................................................ 18,800 NVIDIA Corp. (NON) 322,984 ........................................................................................................................ 365,000 PMC - Sierra, Inc. (NON) 3,383,550 ........................................................................................................................ 209,000 RF Micro Devices, Inc. (NON) 1,592,580 ........................................................................................................................ 116,500 Semtech Corp. (NON) 3,110,550 ........................................................................................................................ 13,400 Skyworks Solutions, Inc. (NON) 74,370 ------------------------------------------------------------------------------------------------------------------------ 35,928,149 ------------------------------------------------------------------------------------------------------------------------ Energy (3.9%) ........................................................................................................................ 117,400 Cooper Cameron Corp. (NON) 5,684,508 ........................................................................................................................ 198,067 GlobalSantaFe Corp. 5,417,132 ........................................................................................................................ 14,200 Nabor Industries, Ltd. (Barbardos) (NON) 501,260 ........................................................................................................................ 131,900 Smith International, Inc. (NON) 8,994,261 ........................................................................................................................ 29,593 Transocean Sedco Forex, Inc. 921,822 ------------------------------------------------------------------------------------------------------------------------ 21,518,983 ------------------------------------------------------------------------------------------------------------------------ Financial (0.3%) ........................................................................................................................ 19,415 SLM Corp. 1,881,314 ------------------------------------------------------------------------------------------------------------------------ Food (0.5%) ........................................................................................................................ 92,400 Krispy Kreme Doughnuts, Inc. (NON) 2,974,356 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (1.8%) ........................................................................................................................ 59,400 Harrah's Entertainment, Inc. (NON) 2,634,390 ........................................................................................................................ 110,400 International Game Technology (NON) 6,259,680 ........................................................................................................................ 28,800 MGM Mirage, Inc. (NON) 972,000 ------------------------------------------------------------------------------------------------------------------------ 9,866,070 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (9.4%) ........................................................................................................................ 119,400 AdvancePCS (NON) 2,858,436 ........................................................................................................................ 156,500 AmerisourceBergen Corp. 11,894,000 ........................................................................................................................ 358,600 Caremark Rx, Inc. (NON) 5,916,900 ........................................................................................................................ 116,600 Express Scripts, Inc. Class A (NON) 5,842,826 ........................................................................................................................ 197,600 Health Management Assoc., Inc. (NON) 3,981,640 ........................................................................................................................ 40,200 Health Net, Inc. (NON) 1,076,154 ........................................................................................................................ 204,600 Laboratory Corporation of America Holdings (NON) 9,339,990 ........................................................................................................................ 85,000 Quest Diagnostics, Inc. (NON) 7,314,250 ........................................................................................................................ 11,900 Trigon Healthcare, Inc. (NON) 1,196,902 ........................................................................................................................ 56,200 Universal Health Services, Inc. Class B (NON) 2,753,800 ------------------------------------------------------------------------------------------------------------------------ 52,174,898 ------------------------------------------------------------------------------------------------------------------------ Insurance (1.5%) ........................................................................................................................ 174,272 ACE, Ltd. (Bermuda) 5,506,995 ........................................................................................................................ 22,300 AMBAC Financial Group, Inc. 1,498,560 ........................................................................................................................ 9,600 Everest Re Group, Ltd. (Barbardos) 537,120 ........................................................................................................................ 16,700 Gallagher, Arthur J. & Co. 578,655 ------------------------------------------------------------------------------------------------------------------------ 8,121,330 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (1.8%) ........................................................................................................................ 21,500 Bear Stearns Companies, Inc. (The) 1,315,800 ........................................................................................................................ 27,100 Investment Technology Group, Inc. (NON) 886,170 ........................................................................................................................ 62,900 Legg Mason, Inc. 3,103,486 ........................................................................................................................ 121,400 SEI Investments Co. 3,419,838 ........................................................................................................................ 57,200 Waddell & Reed Financial, Inc. 1,311,024 ------------------------------------------------------------------------------------------------------------------------ 10,036,318 ------------------------------------------------------------------------------------------------------------------------ Leisure (0.3%) ........................................................................................................................ 32,000 Harley-Davidson, Inc. 1,640,640 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (1.3%) ........................................................................................................................ 49,300 Four Seasons Hotels, Inc. (Canada) 2,312,170 ........................................................................................................................ 70,300 Marriott International, Inc. Class A 2,674,915 ........................................................................................................................ 105,100 Royal Caribbean Cruises, Ltd. 2,049,450 ------------------------------------------------------------------------------------------------------------------------ 7,036,535 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (0.2%) ........................................................................................................................ 31,600 Dover Corp. 1,106,000 ------------------------------------------------------------------------------------------------------------------------ Media (0.2%) ........................................................................................................................ 56,800 USA Networks, Inc. (NON) 1,331,960 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (5.1%) ........................................................................................................................ 47,200 Alcon, Inc. (Switzerland) (NON) 1,616,600 ........................................................................................................................ 131,500 Apogent Technologies, Inc. (NON) 2,704,955 ........................................................................................................................ 225,100 Biomet, Inc. 6,104,712 ........................................................................................................................ 18,700 Charles River Laboratories International, Inc. (NON) 655,435 ........................................................................................................................ 148,000 Cytyc Corp. (NON) 1,127,760 ........................................................................................................................ 112,200 Guidant Corp. (NON) 3,391,806 ........................................................................................................................ 57,400 St. Jude Medical, Inc. (NON) 4,238,990 ........................................................................................................................ 32,021 Stryker Corp. 1,713,444 ........................................................................................................................ 190,700 Zimmer Holdings, Inc. (NON) 6,800,362 ------------------------------------------------------------------------------------------------------------------------ 28,354,064 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (3.5%) ........................................................................................................................ 93,200 Burlington Resources, Inc. 3,541,600 ........................................................................................................................ 29,500 EOG Resources, Inc. 1,171,150 ........................................................................................................................ 8,700 Kerr-McGee Corp. 465,885 ........................................................................................................................ 70,700 Murphy Oil Corp. 5,832,750 ........................................................................................................................ 167,452 Noble Corp. (NON) 6,463,647 ........................................................................................................................ 56,139 Valero Energy Corp. 2,100,721 ------------------------------------------------------------------------------------------------------------------------ 19,575,753 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (4.6%) ........................................................................................................................ 67,797 Allergan, Inc. (SEG) 4,525,450 ........................................................................................................................ 210,200 Andrx Group (NON) 5,669,094 ........................................................................................................................ 16,700 Barr Laboratories, Inc. (NON) 1,060,951 ........................................................................................................................ 54,000 Cephalon, Inc. (NON) 2,440,800 ........................................................................................................................ 22,589 Enzon, Inc. (NON) 567,435 ........................................................................................................................ 19,000 Forest Laboratories, Inc. (NON) 1,345,200 ........................................................................................................................ 45,249 IVAX Corp. (NON) 488,689 ........................................................................................................................ 213,100 King Pharmaceuticals, Inc. (NON) 4,741,475 ........................................................................................................................ 113,412 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 2,927,164 ........................................................................................................................ 26,100 Teva Pharmaceutical Industries, Ltd. ADR (Israel) 1,742,958 ------------------------------------------------------------------------------------------------------------------------ 25,509,216 ------------------------------------------------------------------------------------------------------------------------ Power Producers (0.1%) ........................................................................................................................ 39,700 Mirant Corp. (NON) 289,810 ------------------------------------------------------------------------------------------------------------------------ Restaurants (4.0%) ........................................................................................................................ 14,645 Darden Restaurants, Inc. 361,732 ........................................................................................................................ 508,200 Starbucks Corp. (NON) 12,628,770 ........................................................................................................................ 71,600 Wendy's International, Inc. 2,851,828 ........................................................................................................................ 204,400 Yum! Brands, Inc. (NON) 5,978,700 ------------------------------------------------------------------------------------------------------------------------ 21,821,030 ------------------------------------------------------------------------------------------------------------------------ Retail (10.1%) ........................................................................................................................ 54,100 AutoZone, Inc. (NON) 4,181,930 ........................................................................................................................ 189,400 Bed Bath & Beyond, Inc. (NON) 7,147,956 ........................................................................................................................ 25,340 Best Buy Companies, Inc. (NON) 919,842 ........................................................................................................................ 107,300 Big Lots, Inc. 2,111,664 ........................................................................................................................ 64,300 Columbia Sportswear Co. (NON) 2,057,536 ........................................................................................................................ 81,500 Dollar Tree Stores, Inc. (NON) 3,211,915 ........................................................................................................................ 169,700 Family Dollar Stores, Inc. 5,981,925 ........................................................................................................................ 58,000 Michaels Stores, Inc. (NON) 2,262,000 ........................................................................................................................ 126,800 Office Depot, Inc. (NON) 2,130,240 ........................................................................................................................ 133,038 RadioShack Corp. 3,999,122 ........................................................................................................................ 18,300 Ross Stores, Inc. 745,725 ........................................................................................................................ 347,000 Staples, Inc. (NON) 6,835,900 ........................................................................................................................ 26,299 Talbots, Inc. (The) 920,465 ........................................................................................................................ 57,805 Tiffany & Co. 2,034,736 ........................................................................................................................ 412,700 TJX Companies, Inc. (The) 8,093,047 ........................................................................................................................ 108,300 Williams-Sonoma, Inc. (NON) 3,320,478 ------------------------------------------------------------------------------------------------------------------------ 55,954,481 ------------------------------------------------------------------------------------------------------------------------ Schools (0.4%) ........................................................................................................................ 49,800 Apollo Group, Inc. Class A (NON) 1,963,116 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (2.6%) ........................................................................................................................ 28,500 DuPont Photomasks, Inc. (NON) 925,680 ........................................................................................................................ 40,499 KLA-Tencor Corp. (NON) 1,781,551 ........................................................................................................................ 182,900 LAM Research Corp. (NON) 3,288,542 ........................................................................................................................ 52,100 LTX Corp. (NON) 743,988 ........................................................................................................................ 114,200 Novellus Systems, Inc. (NON) 3,882,800 ........................................................................................................................ 27,500 Photon Dynamics, Inc. (NON) 825,000 ........................................................................................................................ 121,000 Teradyne, Inc. (NON) 2,843,500 ------------------------------------------------------------------------------------------------------------------------ 14,291,061 ------------------------------------------------------------------------------------------------------------------------ Software (6.1%) ........................................................................................................................ 156,900 Adobe Systems, Inc. 4,471,650 ........................................................................................................................ 33,336 Amdocs, Ltd. (Guernsey) (NON) 251,687 ........................................................................................................................ 27,300 BEA Systems, Inc. (NON) 259,623 ........................................................................................................................ 57,600 Business Objects SA ADR (France) (NON) 1,618,560 ........................................................................................................................ 104,000 Electronic Arts, Inc. (NON) 6,869,200 ........................................................................................................................ 136,000 Internet Security Systems, Inc. (NON) 1,784,320 ........................................................................................................................ 24,700 Intuit, Inc. (NON) 1,228,084 ........................................................................................................................ 35,364 Manugistics Group, Inc. (NON) 216,074 ........................................................................................................................ 32,800 Matrixone, Inc. (NON) 200,080 ........................................................................................................................ 20,193 Mercury Interactive Corp. (NON) 463,631 ........................................................................................................................ 82,000 NETIQ Corp. (NON) 1,855,660 ........................................................................................................................ 143,400 Network Associates, Inc. (NON) 2,763,318 ........................................................................................................................ 120,500 PeopleSoft, Inc. (NON) 1,793,040 ........................................................................................................................ 13,900 Precise Software Solutions, Ltd. (Israel) (NON) 132,745 ........................................................................................................................ 34,200 Retek, Inc. (NON) 831,060 ........................................................................................................................ 126,000 Siebel Systems, Inc. (NON) 1,791,720 ........................................................................................................................ 159,100 Symantec Corp. (NON) 5,226,435 ........................................................................................................................ 11,900 Synopsys, Inc. (NON) 652,239 ........................................................................................................................ 88,700 TIBCO Software, Inc. (NON) 493,172 ........................................................................................................................ 38,177 VERITAS Software Corp. (NON) 755,523 ........................................................................................................................ 26,165 webMethods, Inc. (NON) 259,034 ------------------------------------------------------------------------------------------------------------------------ 33,916,855 ------------------------------------------------------------------------------------------------------------------------ Technology Services (6.1%) ........................................................................................................................ 169,900 Affiliated Computer Services, Inc. Class A (NON) 8,066,849 ........................................................................................................................ 103,400 BISYS Group, Inc. (The) (NON) 3,443,220 ........................................................................................................................ 60,000 Concord EFS, Inc. (NON) 1,808,400 ........................................................................................................................ 156,100 Convergys Corp. (NON) (SEG) 3,040,828 ........................................................................................................................ 96,800 DST Systems, Inc. (NON) 4,424,728 ........................................................................................................................ 145,450 Fiserv, Inc. (NON) 5,339,470 ........................................................................................................................ 86,400 Jack Henry & Associates, Inc. 1,442,016 ........................................................................................................................ 224,900 SunGard Data Systems, Inc. (NON) 5,955,352 ------------------------------------------------------------------------------------------------------------------------ 33,520,863 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.9%) ........................................................................................................................ 139,300 CenturyTel, Inc. 4,109,350 ........................................................................................................................ 8,000 Telephone and Data Systems, Inc. 484,400 ........................................................................................................................ 33,100 Time Warner Telecom, Inc. Class A (NON) 55,608 ........................................................................................................................ 28,877 Western Wireless Corp. Class A (NON) 92,406 ------------------------------------------------------------------------------------------------------------------------ 4,741,764 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.1%) ........................................................................................................................ 14,531 Jones Apparel Group, Inc. (NON) 544,913 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $609,743,670) $547,058,391 ------------------------------------------------------------------------------------------------------------------------ PURCHASED OPTIONS OUTSTANDING (--%) (a) (cost $3,939) ------------------------------------------------------------------------------------------------------------------------ Expiration Date/ Contract Amount Strike Price Value ........................................................................................................................ 26,490 Pitney Bowes, Inc. (Call) Jul 02/ 46.75 USD $1,325 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (4.0%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $13,939,297 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $13,930,828 ........................................................................................................................ 8,262,080 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 8,262,080 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $22,192,908) $22,192,908 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $631,940,517) (b) $569,252,624 ------------------------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Face Expiration Unrealized Market Value Value Date Appreciation .............................................................................. S&P 500 Index (Long) $742,574 $740,394 Sep-02 $2,180 ------------------------------------------------------------------------------ Written Options Outstanding at June 30, 2002 (Unaudited) (premiums received $112,461) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amount Strike Price Value .............................................................................. 34,756 PeopleSoft, Inc. (put) Jul 02/ 17.50 USD $107,048 .............................................................................. 55,924 VERITAS Software Corp. (put) Jul 02/ 21.59 USD 156,028 ------------------------------------------------------------------------------ $263,076 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Voyager Fund The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (98.9%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Advertising and Marketing Services (0.3%) ........................................................................................................................ 110,700 Interpublic Group Companies, Inc. $2,740,932 ........................................................................................................................ 156,600 Lamar Advertising Co. (NON) 5,827,086 ........................................................................................................................ 40,300 Omnicom Group, Inc. 1,845,740 ------------------------------------------------------------------------------------------------------------------------ 10,413,758 ------------------------------------------------------------------------------------------------------------------------ Aerospace and Defense (1.6%) ........................................................................................................................ 53,900 General Dynamics Corp. 5,732,265 ........................................................................................................................ 127,318 L-3 Communications Holdings, Inc. (NON) 6,875,172 ........................................................................................................................ 388,565 Lockheed Martin Corp. 27,005,268 ........................................................................................................................ 74,600 Northrop Grumman Corp. 9,325,000 ........................................................................................................................ 177,400 Raytheon Co. 7,229,050 ........................................................................................................................ 33,400 Rockwell Collins, Inc. 915,828 ........................................................................................................................ 108,405 United Technologies Corp. 7,360,700 ------------------------------------------------------------------------------------------------------------------------ 64,443,283 ------------------------------------------------------------------------------------------------------------------------ Airlines (0.3%) ........................................................................................................................ 123,600 FedEx Corp. 6,600,240 ........................................................................................................................ 229,400 Southwest Airlines Co. 3,707,104 ------------------------------------------------------------------------------------------------------------------------ 10,307,344 ------------------------------------------------------------------------------------------------------------------------ Automotive (1.0%) ........................................................................................................................ 173,100 Dana Corp. 3,207,543 ........................................................................................................................ 213,300 Delphi Automotive Systems Corp. 2,815,560 ........................................................................................................................ 162,200 Ford Motor Co. 2,595,200 ........................................................................................................................ 255,600 General Motors Corp. 13,661,820 ........................................................................................................................ 97,100 Johnson Controls, Inc. 7,924,331 ........................................................................................................................ 216,600 Lear Corp. (NON) 10,017,750 ------------------------------------------------------------------------------------------------------------------------ 40,222,204 ------------------------------------------------------------------------------------------------------------------------ Banking (4.4%) ........................................................................................................................ 100,200 Bank of America Corp. 7,050,072 ........................................................................................................................ 590,332 Bank of New York Company, Inc. (The) 19,923,705 ........................................................................................................................ 112,900 Bank One Corp. 4,344,392 ........................................................................................................................ 243,340 Charter One Financial, Inc. 8,366,029 ........................................................................................................................ 164,678 Fifth Third Bancorp 10,975,789 ........................................................................................................................ 13,000 First Tennessee National Corp. 497,900 ........................................................................................................................ 112,400 Golden West Financial Corp. 7,730,872 ........................................................................................................................ 93,300 Greenpoint Financial Corp. 4,581,030 ........................................................................................................................ 145,370 Investors Financial Services Corp. 4,875,710 ........................................................................................................................ 84,700 M&T Bank Corp. 7,263,872 ........................................................................................................................ 29,300 Mellon Financial Corp. 920,899 ........................................................................................................................ 283,491 National City Corp. 9,426,076 ........................................................................................................................ 151,366 North Fork Bancorporation, Inc. 6,025,880 ........................................................................................................................ 73,200 Northern Trust Corp. 3,225,192 ........................................................................................................................ 26,500 South Trust Corp. 692,180 ........................................................................................................................ 193,700 SunTrust Banks, Inc. 13,117,364 ........................................................................................................................ 937,370 U.S. Bancorp 21,887,590 ........................................................................................................................ 49,300 UnionBanCal Corp. 2,309,705 ........................................................................................................................ 466,600 Washington Mutual, Inc. 17,315,526 ........................................................................................................................ 377,724 Wells Fargo & Co. 18,908,863 ........................................................................................................................ 197,200 Zions Bancorporation 10,274,120 ------------------------------------------------------------------------------------------------------------------------ 179,712,766 ------------------------------------------------------------------------------------------------------------------------ Beverage (4.3%) ........................................................................................................................ 10,600 Adolph Coors Co. Class B 660,380 ........................................................................................................................ 789,354 Anheuser-Busch Companies, Inc. 39,467,700 ........................................................................................................................ 934,550 Coca-Cola Co. (The) 52,334,800 ........................................................................................................................ 291,427 Coca-Cola Enterprises, Inc. 6,434,708 ........................................................................................................................ 619,400 Pepsi Bottling Group, Inc. (The) 19,077,520 ........................................................................................................................ 1,133,244 PepsiCo, Inc. 54,622,361 ------------------------------------------------------------------------------------------------------------------------ 172,597,469 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (1.8%) ........................................................................................................................ 635,730 Amgen, Inc. (NON) 26,624,372 ........................................................................................................................ 43,800 Applera Corporation-Applied Biosystems Group 853,662 ........................................................................................................................ 176,120 Genzyme Corp. (NON) 3,388,549 ........................................................................................................................ 307,400 Gilead Sciences, Inc. (NON) 10,107,312 ........................................................................................................................ 225,400 IDEC Pharmaceuticals Corp. (NON) 7,990,430 ........................................................................................................................ 109,600 IDEXX Laboratories, Inc. (NON) 2,826,584 ........................................................................................................................ 86,200 Immunex Corp. (NON) 1,925,708 ........................................................................................................................ 765,800 MedImmune, Inc. (NON) 20,217,120 ........................................................................................................................ 71,100 Millennium Pharmaceuticals, Inc. (NON) 863,865 ------------------------------------------------------------------------------------------------------------------------ 74,797,602 ------------------------------------------------------------------------------------------------------------------------ Broadcasting (1.7%) ........................................................................................................................ 110,050 Clear Channel Communications, Inc. (NON) 3,523,801 ........................................................................................................................ 92,900 Cox Radio, Inc. Class A (NON) 2,238,890 ........................................................................................................................ 558,100 Echostar Communications Corp. Class A (NON) 10,358,336 ........................................................................................................................ 1,226,271 Viacom, Inc. Class B (NON) 54,409,644 ------------------------------------------------------------------------------------------------------------------------ 70,530,671 ------------------------------------------------------------------------------------------------------------------------ Cable Television (0.3%) ........................................................................................................................ 506,426 Comcast Corp. Class A (NON) 12,073,196 ------------------------------------------------------------------------------------------------------------------------ Chemicals (0.3%) ........................................................................................................................ 57,000 Air Products & Chemicals, Inc. 2,876,790 ........................................................................................................................ 72,400 Eastman Chemical Co. 3,395,560 ........................................................................................................................ 56,600 Lubrizol Corp. (The) 1,896,100 ........................................................................................................................ 70,800 Rohm & Haas Co. 2,866,692 ------------------------------------------------------------------------------------------------------------------------ 11,035,142 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (0.7%) ........................................................................................................................ 59,300 CDW Computer Centers, Inc. (NON) 2,775,833 ........................................................................................................................ 22,000 Choicepoint, Inc. (NON) 1,000,340 ........................................................................................................................ 159,200 Cintas Corp. 7,869,256 ........................................................................................................................ 209,983 Ecolab, Inc. 9,707,514 ........................................................................................................................ 88,100 H&R Block, Inc. 4,065,815 ........................................................................................................................ 50,700 Sabre Holdings Corp. (NON) 1,815,060 ........................................................................................................................ 60,800 Tech Data Corp. (NON) 2,301,280 ------------------------------------------------------------------------------------------------------------------------ 29,535,098 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (2.6%) ........................................................................................................................ 5,944,738 Cisco Systems, Inc. (NON) 82,929,095 ........................................................................................................................ 219,743 Extreme Networks, Inc. (NON) 2,217,207 ........................................................................................................................ 325,500 Nokia OYJ ADR (Finland) 4,713,240 ........................................................................................................................ 376,731 QUALCOMM, Inc. (NON) 10,356,335 ........................................................................................................................ 270,600 Scientific-Atlanta, Inc. 4,451,370 ------------------------------------------------------------------------------------------------------------------------ 104,667,247 ------------------------------------------------------------------------------------------------------------------------ Computers (4.4%) ........................................................................................................................ 2,712,914 Dell Computer Corp. (NON) 70,915,572 ........................................................................................................................ 1,002,000 EMC Corp. (NON) 7,565,100 ........................................................................................................................ 327,400 Emulex Corp. (NON) 7,369,774 ........................................................................................................................ 974,055 Hewlett-Packard Co. 14,883,560 ........................................................................................................................ 708,432 IBM Corp. 51,007,104 ........................................................................................................................ 198,400 Lexmark International, Inc. (NON) 10,792,960 ........................................................................................................................ 176,200 McDATA Corp. Class A (NON) 1,552,322 ........................................................................................................................ 27,400 Mentor Graphics Corp. (NON) 389,628 ........................................................................................................................ 244,700 QLogic Corp. (NON) 9,323,070 ........................................................................................................................ 1,041,600 Sun Microsystems, Inc. (NON) 5,218,416 ------------------------------------------------------------------------------------------------------------------------ 179,017,506 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (4.7%) ........................................................................................................................ 5,791,923 General Electric Co. (SEG) 168,255,363 ........................................................................................................................ 1,505,650 Tyco International, Ltd. (Bermuda) 20,341,332 ------------------------------------------------------------------------------------------------------------------------ 188,596,695 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (1.8%) ........................................................................................................................ 307,200 AmeriCredit Corp. (NON) 8,616,960 ........................................................................................................................ 480,396 Capital One Financial Corp. 29,328,176 ........................................................................................................................ 10,300 Countrywide Credit Industries, Inc. 496,975 ........................................................................................................................ 366,700 Household International, Inc. 18,224,990 ........................................................................................................................ 485,397 MBNA Corp. 16,052,079 ------------------------------------------------------------------------------------------------------------------------ 72,719,180 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.3%) ........................................................................................................................ 240,000 Colgate-Palmolive Co. 12,012,000 ........................................................................................................................ 109,547 Estee Lauder Companies, Inc. (The) Class A 3,856,054 ........................................................................................................................ 56,700 Fortune Brands, Inc. 3,175,200 ........................................................................................................................ 112,722 Newell Rubbermaid, Inc. 3,952,033 ........................................................................................................................ 313,315 Procter & Gamble Co. 27,979,030 ------------------------------------------------------------------------------------------------------------------------ 50,974,317 ------------------------------------------------------------------------------------------------------------------------ Consumer Services (0.1%) ........................................................................................................................ 46,400 Hotels.com Class A (NON) 1,959,472 ........................................................................................................................ 43,100 United Rentals, Inc. (NON) 939,580 ------------------------------------------------------------------------------------------------------------------------ 2,899,052 ------------------------------------------------------------------------------------------------------------------------ Distribution (0.2%) ........................................................................................................................ 230,662 SYSCO Corp. 6,278,620 ------------------------------------------------------------------------------------------------------------------------ Electric Utilities (0.8%) ........................................................................................................................ 170,400 Duke Energy Corp. $5,299,440 ........................................................................................................................ 165,119 Edison International (NON) 2,807,023 ........................................................................................................................ 219,000 Entergy Corp. 9,294,360 ........................................................................................................................ 97,600 Exelon Corp. 5,104,480 ........................................................................................................................ 37,450 FPL Group, Inc. 2,246,626 ........................................................................................................................ 38,300 Pinnacle West Capital Corp. 1,512,850 ........................................................................................................................ 150,100 Progress Energy, Inc. 7,806,701 ------------------------------------------------------------------------------------------------------------------------ 34,071,480 ------------------------------------------------------------------------------------------------------------------------ Electrical Equipment (--%) ........................................................................................................................ 29,400 Rockwell International Corp. 587,412 ------------------------------------------------------------------------------------------------------------------------ Electronics (5.5%) ........................................................................................................................ 538,600 Agilent Technologies, Inc. (NON) 12,737,890 ........................................................................................................................ 443,700 Applied Micro Circuits Corp. (NON) 2,098,701 ........................................................................................................................ 162,000 Avnet, Inc. 3,562,380 ........................................................................................................................ 380,000 Broadcom Corp. Class A (NON) 6,665,200 ........................................................................................................................ 78,700 Brooks-PRI Automation, Inc. (NON) 2,011,572 ........................................................................................................................ 102,900 Celestica, Inc. (Canada) (NON) 2,336,859 ........................................................................................................................ 19,126 Fairchild Semiconductor Corp. Class A (NON) 464,762 ........................................................................................................................ 168,900 Integrated Device Technology, Inc. (NON) 3,063,846 ........................................................................................................................ 5,545,834 Intel Corp. 101,322,387 ........................................................................................................................ 162,798 Linear Technology Corp. 5,116,741 ........................................................................................................................ 391,101 LSI Logic Corp. (NON) 3,422,134 ........................................................................................................................ 136,600 Marvell Technology Group, Ltd. (Bermuda) (NON) 2,716,974 ........................................................................................................................ 786,033 Maxim Integrated Products, Inc. (NON) 30,128,645 ........................................................................................................................ 285,700 Micrel, Inc. (NON) 4,108,366 ........................................................................................................................ 134,375 Microchip Technology, Inc. (NON) 3,685,906 ........................................................................................................................ 335,107 Motorola, Inc. 4,832,243 ........................................................................................................................ 440,084 PMC - Sierra, Inc. (NON) 4,079,579 ........................................................................................................................ 259,100 RF Micro Devices, Inc. (NON) 1,974,342 ........................................................................................................................ 146,500 Semtech Corp. (NON) 3,911,550 ........................................................................................................................ 178,100 Storage Technology Corp. (NON) 2,844,257 ........................................................................................................................ 699,500 Texas Instruments, Inc. 16,578,150 ........................................................................................................................ 12,300 W.W. Grainger, Inc. 616,230 ........................................................................................................................ 242,650 Xilinx, Inc. (NON) 5,442,640 ------------------------------------------------------------------------------------------------------------------------ 223,721,354 ------------------------------------------------------------------------------------------------------------------------ Energy (1.0%) ........................................................................................................................ 150,491 BJ Services Co. (NON) 5,098,635 ........................................................................................................................ 188,100 Cooper Cameron Corp. (NON) 9,107,802 ........................................................................................................................ 448,653 GlobalSantaFe Corp. 12,270,660 ........................................................................................................................ 83,600 Schlumberger, Ltd. 3,887,400 ........................................................................................................................ 137,953 Smith International, Inc. (NON) 9,407,015 ------------------------------------------------------------------------------------------------------------------------ 39,771,512 ------------------------------------------------------------------------------------------------------------------------ Engineering & Construction (--%) ........................................................................................................................ 36,600 Jacobs Engineering Group, Inc. (NON) 1,272,948 ------------------------------------------------------------------------------------------------------------------------ Financial (3.3%) ........................................................................................................................ 1,631,889 Citigroup, Inc. 63,235,699 ........................................................................................................................ 55,475 Fannie Mae 4,091,281 ........................................................................................................................ 877,056 Freddie Mac 53,675,827 ........................................................................................................................ 65,600 MGIC Investment Corp. 4,447,680 ........................................................................................................................ 46,000 Moody's Corp. 2,288,500 ........................................................................................................................ 57,700 SLM Corp. 5,591,130 ------------------------------------------------------------------------------------------------------------------------ 133,330,117 ------------------------------------------------------------------------------------------------------------------------ Food (0.8%) ........................................................................................................................ 694,060 Kraft Foods, Inc. Class A 28,421,757 ........................................................................................................................ 127,700 Krispy Kreme Doughnuts, Inc. (NON) 4,110,663 ------------------------------------------------------------------------------------------------------------------------ 32,532,420 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (0.6%) ........................................................................................................................ 289,500 Harrah's Entertainment, Inc. (NON) 12,839,325 ........................................................................................................................ 98,709 International Game Technology (NON) 5,596,800 ........................................................................................................................ 23,500 Mandalay Resort Group (NON) 647,895 ........................................................................................................................ 28,100 MGM Mirage, Inc. (NON) 948,375 ........................................................................................................................ 384,300 Park Place Entertainment Corp. (NON) 3,939,075 ------------------------------------------------------------------------------------------------------------------------ 23,971,470 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (4.7%) ........................................................................................................................ 167,100 AdvancePCS (NON) 4,000,374 ........................................................................................................................ 179,900 AmerisourceBergen Corp. 13,672,400 ........................................................................................................................ 198,700 Cardinal Health, Inc. 12,202,167 ........................................................................................................................ 634,100 Caremark Rx, Inc. (NON) 10,462,650 ........................................................................................................................ 17,412 CIGNA Corp. 1,696,277 ........................................................................................................................ 81,268 DaVita, Inc. (NON) 1,934,178 ........................................................................................................................ 180,351 Express Scripts, Inc. Class A (NON) 9,037,389 ........................................................................................................................ 542,550 HCA, Inc. 25,771,125 ........................................................................................................................ 276,600 Health Management Assoc., Inc. (NON) 5,573,490 ........................................................................................................................ 127,200 Health Net, Inc. (NON) 3,405,144 ........................................................................................................................ 212,656 Laboratory Corporation of America Holdings (NON) 9,707,746 ........................................................................................................................ 197,600 Oxford Health Plans, Inc. (NON) 9,180,496 ........................................................................................................................ 108,350 Quest Diagnostics, Inc. (NON) 9,323,518 ........................................................................................................................ 77,300 Tenet Healthcare Corp. (NON) 5,530,815 ........................................................................................................................ 694,820 UnitedHealth Group, Inc. 63,610,771 ........................................................................................................................ 76,900 Universal Health Services, Inc. Class B (NON) 3,768,100 ------------------------------------------------------------------------------------------------------------------------ 188,876,640 ------------------------------------------------------------------------------------------------------------------------ Household Furniture and Appliances (0.1%) ........................................................................................................................ 101,800 Maytag Corp. 4,341,770 ........................................................................................................................ 28,200 Whirlpool Corp. 1,843,152 ------------------------------------------------------------------------------------------------------------------------ 6,184,922 ------------------------------------------------------------------------------------------------------------------------ Insurance (2.5%) ........................................................................................................................ 237,900 ACE, Ltd. (Bermuda) 7,517,640 ........................................................................................................................ 1,056,520 American International Group, Inc. 72,086,360 ........................................................................................................................ 28,440 Fidelity National Financial, Inc. 898,704 ........................................................................................................................ 56,100 Gallagher, Arthur J. & Co. 1,943,865 ........................................................................................................................ 59,400 PMI Group, Inc. (The) 2,269,080 ........................................................................................................................ 100,800 Radian Group, Inc. 4,924,080 ........................................................................................................................ 120,152 XL Capital, Ltd. Class A (Bermuda) 10,176,874 ------------------------------------------------------------------------------------------------------------------------ 99,816,603 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (2.0%) ........................................................................................................................ 41,000 Bear Stearns Companies, Inc. (The) 2,509,200 ........................................................................................................................ 8,100 BlackRock, Inc. (NON) 358,830 ........................................................................................................................ 1,440,380 Charles Schwab Corp. (The) 16,132,256 ........................................................................................................................ 149,900 Federated Investors, Inc. 5,182,043 ........................................................................................................................ 67,600 Goldman Sachs Group, Inc. (The) 4,958,460 ........................................................................................................................ 59,900 Investment Technology Group, Inc. (NON) 1,958,730 ........................................................................................................................ 86,000 Legg Mason, Inc. 4,243,240 ........................................................................................................................ 158,500 Lehman Brothers Holdings, Inc. 9,909,420 ........................................................................................................................ 370,100 Merrill Lynch & Company, Inc. 14,989,050 ........................................................................................................................ 327,828 Morgan Stanley Dean Witter & Co. 14,122,830 ........................................................................................................................ 170,055 SEI Investments Co. 4,790,449 ........................................................................................................................ 80,700 Waddell & Reed Financial, Inc. 1,849,644 ------------------------------------------------------------------------------------------------------------------------ 81,004,152 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (0.8%) ........................................................................................................................ 958,700 Cendant Corp. (NON) 15,224,156 ........................................................................................................................ 58,000 Four Seasons Hotels, Inc. (Canada) 2,720,200 ........................................................................................................................ 151,300 Marriott International, Inc. Class A 5,756,965 ........................................................................................................................ 208,661 Royal Caribbean Cruises, Ltd. 4,068,890 ........................................................................................................................ 90,200 Starwood Hotels & Resorts Worldwide, Inc. 2,966,678 ------------------------------------------------------------------------------------------------------------------------ 30,736,889 ------------------------------------------------------------------------------------------------------------------------ Manufacturing (0.1%) ........................................................................................................................ 44,700 Dover Corp. 1,564,500 ........................................................................................................................ 48,900 Illinois Tool Works, Inc. 3,339,870 ------------------------------------------------------------------------------------------------------------------------ 4,904,370 ------------------------------------------------------------------------------------------------------------------------ Media (0.6%) ........................................................................................................................ 839,758 AOL Time Warner, Inc. (NON) 12,352,840 ........................................................................................................................ 302,700 Fox Entertainment Group, Inc. Class A (NON) 6,583,725 ........................................................................................................................ 121,500 USA Networks, Inc. (NON) 2,849,175 ........................................................................................................................ 85,200 Walt Disney Co. (The) 1,610,280 ------------------------------------------------------------------------------------------------------------------------ 23,396,020 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (2.5%) ........................................................................................................................ 61,700 Alcon, Inc. (Switzerland) (NON) 2,113,225 ........................................................................................................................ 207,699 Apogent Technologies, Inc. (NON) 4,272,368 ........................................................................................................................ 12,000 Bausch & Lomb, Inc. 406,200 ........................................................................................................................ 364,200 Baxter International, Inc. 16,188,690 ........................................................................................................................ 284,500 Biomet, Inc. 7,715,640 ........................................................................................................................ 2,114 Cytyc Corp. (NON) 16,109 ........................................................................................................................ 288,100 Guidant Corp. (NON) 8,709,263 ........................................................................................................................ 1,032,880 Medtronic, Inc. 44,258,908 ........................................................................................................................ 55,700 St. Jude Medical, Inc. (NON) 4,113,445 ........................................................................................................................ 28,600 Varian Medical Systems, Inc. (NON) 1,159,730 ........................................................................................................................ 349,580 Zimmer Holdings, Inc. (NON) 12,466,023 ------------------------------------------------------------------------------------------------------------------------ 101,419,601 ------------------------------------------------------------------------------------------------------------------------ Metals (0.4%) ........................................................................................................................ 668,210 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 11,927,549 ........................................................................................................................ 137,400 United States Steel Corp. 2,732,886 ------------------------------------------------------------------------------------------------------------------------ 14,660,435 ------------------------------------------------------------------------------------------------------------------------ Natural Gas Utilities (0.1%) ........................................................................................................................ 184,000 NiSource, Inc. 4,016,720 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (1.8%) ........................................................................................................................ 133,100 Apache Corp. 7,650,588 ........................................................................................................................ 125,900 Burlington Resources, Inc. 4,784,200 ........................................................................................................................ 332,142 Conoco, Inc. 9,233,548 ........................................................................................................................ 20,700 Devon Energy Corp. 1,020,096 ........................................................................................................................ 590,397 Exxon Mobil Corp. 24,159,045 ........................................................................................................................ 76,500 Murphy Oil Corp. 6,311,250 ........................................................................................................................ 188,211 Noble Corp. (NON) 7,264,945 ........................................................................................................................ 84,200 Occidental Petroleum Corp. 2,525,158 ........................................................................................................................ 32,600 Phillips Petroleum Co. 1,919,488 ........................................................................................................................ 233,600 Unocal Corp. 8,629,184 ------------------------------------------------------------------------------------------------------------------------ 73,497,502 ------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products (0.5%) ........................................................................................................................ 11,300 Sealed Air Corp. (NON) 455,051 ........................................................................................................................ 616,600 Smurfit-Stone Container Corp. (NON) 9,507,972 ........................................................................................................................ 198,900 Weyerhaeuser Co. 12,699,765 ------------------------------------------------------------------------------------------------------------------------ 22,662,788 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (12.7%) ........................................................................................................................ 792,701 Abbott Laboratories 29,845,193 ........................................................................................................................ 299,189 Allergan, Inc. 19,970,866 ........................................................................................................................ 257,100 Andrx Group (NON) 6,933,987 ........................................................................................................................ 95,400 AstraZeneca PLC ADR (United Kingdom) 3,911,400 ........................................................................................................................ 14,800 Barr Laboratories, Inc. (NON) 940,244 ........................................................................................................................ 167,123 Bristol-Myers Squibb Co. 4,295,061 ........................................................................................................................ 61,700 Cephalon, Inc. (NON) 2,788,840 ........................................................................................................................ 103,600 Forest Laboratories, Inc. (NON) 7,334,880 ........................................................................................................................ 33,900 GlaxoSmithKline PLC ADR (United Kingdom) 1,462,446 ........................................................................................................................ 95,500 ICN Pharmaceuticals, Inc. 2,312,055 ........................................................................................................................ 2,093,456 Johnson & Johnson 109,404,011 ........................................................................................................................ 451,800 King Pharmaceuticals, Inc. (NON) 10,052,550 ........................................................................................................................ 553,487 Lilly (Eli) & Co. 31,216,667 ........................................................................................................................ 914,611 Merck & Company, Inc. 46,315,901 ........................................................................................................................ 71,600 Mylan Laboratories, Inc. 2,244,660 ........................................................................................................................ 4,825,718 Pfizer, Inc. 168,900,130 ........................................................................................................................ 817,350 Pharmacia Corp. 30,609,758 ........................................................................................................................ 137,004 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 3,536,073 ........................................................................................................................ 36,800 Teva Pharmaceutical Industries, Ltd. ADR (Israel) 2,457,504 ........................................................................................................................ 70,700 Watson Pharmaceuticals, Inc. (NON) 1,786,589 ........................................................................................................................ 512,500 Wyeth 26,240,000 ------------------------------------------------------------------------------------------------------------------------ 512,558,815 ------------------------------------------------------------------------------------------------------------------------ Railroads (0.2%) ........................................................................................................................ 249,300 Burlington Northern Santa Fe Corp. 7,479,000 ........................................................................................................................ 24,400 Canadian National Railway Co. (Canada) 1,263,920 ------------------------------------------------------------------------------------------------------------------------ 8,742,920 ------------------------------------------------------------------------------------------------------------------------ Regional Bells (0.8%) ........................................................................................................................ 187,600 BellSouth Corp. 5,909,400 ........................................................................................................................ 826,998 SBC Communications, Inc. 25,223,439 ........................................................................................................................ 81,433 Verizon Communications, Inc. 3,269,535 ------------------------------------------------------------------------------------------------------------------------ 34,402,374 ------------------------------------------------------------------------------------------------------------------------ Restaurants (1.2%) ........................................................................................................................ 64,856 Darden Restaurants, Inc. 1,601,943 ........................................................................................................................ 1,296,482 Starbucks Corp. (NON) 32,217,578 ........................................................................................................................ 106,800 Wendy's International, Inc. 4,253,844 ........................................................................................................................ 357,600 Yum! Brands, Inc. (NON) 10,459,800 ------------------------------------------------------------------------------------------------------------------------ 48,533,165 ------------------------------------------------------------------------------------------------------------------------ Retail (11.2%) ........................................................................................................................ 117,767 99 Cents Only Stores (NON) 3,020,724 ........................................................................................................................ 79,700 Albertsons, Inc. 2,427,662 ........................................................................................................................ 110,900 AutoZone, Inc. (NON) 8,572,570 ........................................................................................................................ 216,525 Bed Bath & Beyond, Inc. (NON) 8,171,654 ........................................................................................................................ 301,067 Best Buy Companies, Inc. (NON) 10,928,732 ........................................................................................................................ 157,600 Big Lots, Inc. 3,101,568 ........................................................................................................................ 190,100 Circuit City Stores-Circuit City Group 3,564,375 ........................................................................................................................ 15,400 Coach, Inc. (NON) 845,460 ........................................................................................................................ 86,185 Columbia Sportswear Co. (NON) 2,757,834 ........................................................................................................................ 52,600 Dollar Tree Stores, Inc. (NON) 2,072,966 ........................................................................................................................ 31,100 Expedia, Inc. Class A (NON) 1,843,919 ........................................................................................................................ 211,000 Family Dollar Stores, Inc. 7,437,750 ........................................................................................................................ 255,300 Federated Department Stores, Inc. (NON) 10,135,410 ........................................................................................................................ 886,722 Home Depot, Inc. (The) 32,569,299 ........................................................................................................................ 216,700 Kohl's Corp. (NON) 15,186,336 ........................................................................................................................ 920,222 Kroger Co. (NON) 18,312,418 ........................................................................................................................ 655,610 Limited Brands, Inc. 13,964,493 ........................................................................................................................ 1,587,620 Lowe's Companies, Inc. 72,077,948 ........................................................................................................................ 79,700 Michaels Stores, Inc. (NON) 3,108,300 ........................................................................................................................ 371,500 Office Depot, Inc. (NON) 6,241,200 ........................................................................................................................ 300,100 RadioShack Corp. 9,021,006 ........................................................................................................................ 148,460 Safeway, Inc. (NON) 4,333,547 ........................................................................................................................ 74,000 Saks, Inc. (NON) 950,160 ........................................................................................................................ 405,200 Staples, Inc. (NON) 7,982,440 ........................................................................................................................ 64,700 SUPERVALU, Inc. 1,587,091 ........................................................................................................................ 543,100 Target Corp. 20,692,110 ........................................................................................................................ 90,800 Tiffany & Co. 3,196,160 ........................................................................................................................ 1,150,602 TJX Companies, Inc. (The) 22,563,305 ........................................................................................................................ 2,358,410 Wal-Mart Stores, Inc. 129,736,134 ........................................................................................................................ 417,100 Walgreen Co. 16,112,573 ........................................................................................................................ 71,566 Whole Foods Market, Inc. (NON) 3,450,913 ........................................................................................................................ 240,000 Williams-Sonoma, Inc. (NON) 7,358,400 ........................................................................................................................ 51,100 Winn Dixie Stores, Inc. 796,649 ------------------------------------------------------------------------------------------------------------------------ 454,121,106 ------------------------------------------------------------------------------------------------------------------------ Schools (0.1%) ........................................................................................................................ 70,600 Apollo Group, Inc. Class A (NON) 2,783,052 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (1.4%) ........................................................................................................................ 1,137,166 Applied Materials, Inc. (NON) 21,628,897 ........................................................................................................................ 444,300 KLA-Tencor Corp. (NON) 19,544,757 ........................................................................................................................ 404,300 LAM Research Corp. (NON) 7,269,314 ........................................................................................................................ 81,600 Novellus Systems, Inc. (NON) 2,774,400 ........................................................................................................................ 170,500 Teradyne, Inc. (NON) 4,006,750 ------------------------------------------------------------------------------------------------------------------------ 55,224,118 ------------------------------------------------------------------------------------------------------------------------ Shipping (--%) ........................................................................................................................ 24,100 CNF Transportation, Inc. 915,318 ------------------------------------------------------------------------------------------------------------------------ Software (6.3%) ........................................................................................................................ 120,486 Adobe Systems, Inc. 3,433,851 ........................................................................................................................ 64,181 Business Objects SA ADR (France) (NON) 1,803,486 ........................................................................................................................ 57,400 Cadence Design Systems, Inc. (NON) 925,288 ........................................................................................................................ 415,144 Electronic Arts, Inc. (NON) 27,420,261 ........................................................................................................................ 164,695 Internet Security Systems, Inc. (NON) 2,160,798 ........................................................................................................................ 114,600 Intuit, Inc. (NON) 5,697,912 ........................................................................................................................ 8,440 Matrixone, Inc. (NON) 51,484 ........................................................................................................................ 2,968,741 Microsoft Corp. (NON) (SEG) 162,390,133 ........................................................................................................................ 98,606 NETIQ Corp. (NON) 2,231,454 ........................................................................................................................ 621,100 Network Associates, Inc. (NON) 11,968,597 ........................................................................................................................ 1,831,435 Oracle Corp. (NON) 17,343,689 ........................................................................................................................ 188,900 PeopleSoft, Inc. (NON) 2,810,832 ........................................................................................................................ 8,100 Precise Software Solutions, Ltd. (Israel) (NON) 77,355 ........................................................................................................................ 213,784 Siebel Systems, Inc. (NON) 3,040,008 ........................................................................................................................ 349,000 Symantec Corp. (NON) 11,464,650 ........................................................................................................................ 4,624 TIBCO Software, Inc. (NON) 25,709 ........................................................................................................................ 70,945 VERITAS Software Corp. (NON) 1,404,002 ------------------------------------------------------------------------------------------------------------------------ 254,249,509 ------------------------------------------------------------------------------------------------------------------------ Technology Services (2.1%) ........................................................................................................................ 342,400 Accenture, Ltd. Class A (Bermuda) (NON) 6,505,600 ........................................................................................................................ 263,220 Affiliated Computer Services, Inc. Class A (NON) 12,497,686 ........................................................................................................................ 561,400 Automatic Data Processing, Inc. 24,448,970 ........................................................................................................................ 150,500 BISYS Group, Inc. (The) (NON) 5,011,650 ........................................................................................................................ 48,300 Checkfree Corp. (NON) 755,412 ........................................................................................................................ 160,600 Computer Sciences Corp. (NON) 7,676,680 ........................................................................................................................ 211,707 Convergys Corp. (NON) 4,124,052 ........................................................................................................................ 121,308 DST Systems, Inc. (NON) 5,544,989 ........................................................................................................................ 105,539 Electronic Data Systems Corp. 3,920,774 ........................................................................................................................ 98,700 Equifax, Inc. 2,664,900 ........................................................................................................................ 126,800 Fiserv, Inc. (NON) 4,654,828 ........................................................................................................................ 321,026 SunGard Data Systems, Inc. (NON) 8,500,768 ------------------------------------------------------------------------------------------------------------------------ 86,306,309 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.2%) ........................................................................................................................ 195,500 CenturyTel, Inc. 5,767,250 ........................................................................................................................ 224,100 Sprint Corp. (FON Group) 2,377,701 ------------------------------------------------------------------------------------------------------------------------ 8,144,951 ------------------------------------------------------------------------------------------------------------------------ Textiles (0.3%) ........................................................................................................................ 60,800 Jones Apparel Group, Inc. (NON) 2,280,000 ........................................................................................................................ 342,500 Reebok International, Ltd. (NON) 10,103,750 ------------------------------------------------------------------------------------------------------------------------ 12,383,750 ------------------------------------------------------------------------------------------------------------------------ Tire & Rubber (--%) ........................................................................................................................ 77,800 Goodyear Tire & Rubber Co. (The) 1,455,638 ------------------------------------------------------------------------------------------------------------------------ Tobacco (1.9%) ........................................................................................................................ 1,746,842 Philip Morris Companies, Inc. 76,302,055 ........................................................................................................................ 13,800 R.J. Reynolds Tobacco Holdings, Inc. 741,750 ------------------------------------------------------------------------------------------------------------------------ 77,043,805 ------------------------------------------------------------------------------------------------------------------------ Toys (0.3%) ........................................................................................................................ 642,700 Mattel, Inc. 13,548,116 ------------------------------------------------------------------------------------------------------------------------ Transportation Services (0.1%) ........................................................................................................................ 65,200 United Parcel Service, Inc. Class B 4,026,100 ------------------------------------------------------------------------------------------------------------------------ Waste Management (0.2%) ........................................................................................................................ 253,200 Waste Management, Inc. 6,595,860 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $4,479,053,919) $4,002,291,411 ------------------------------------------------------------------------------------------------------------------------ WARRANTS (--%) (a) (NON) (cost $--) ------------------------------------------------------------------------------------------------------------------------ Number of Warrants Expiration Date Value ........................................................................................................................ 18,524 Orbital Sciences Corp. 8/31/04 $80,579 ------------------------------------------------------------------------------------------------------------------------ PURCHASED OPTIONS OUTSTANDING (--%) (a) (cost $5,563) ------------------------------------------------------------------------------------------------------------------------ Expiration Date/ Contract Amount Strike Price Value ........................................................................................................................ 37,409 Pitney Bowes, Inc. (Call) Jul 02/ 46.75 USD $1,870 ------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS (1.4%) (a) ------------------------------------------------------------------------------------------------------------------------ Principal Amount Value ........................................................................................................................ $36,785,060 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 1.98% and due dates ranging from July 1, 2002 to August 26, 2002 (d) $36,762,710 ........................................................................................................................ 18,069,531 Short-term investments held in Putnam commingled cash account with yields ranging from 1.74% to 1.83% and due dates ranging from July 1, 2002 to August 27, 2002 (d) 18,069,531 ------------------------------------------------------------------------------------------------------------------------ Total Short-Term Investments (cost $54,832,241) $54,832,241 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $4,533,891,723) (b) $4,057,206,101 ------------------------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2002 (Unaudited) ------------------------------------------------------------------------------ Aggregate Expiration Unrealized Total Value Face Value Date Depreciation .............................................................................. Nasdaq 100 (Long) $7,799,599 $8,525,115 Sep-02 $(725,516) .............................................................................. S&P 500 Index (Long) 36,386,175 36,696,100 Sep-02 (309,925) ------------------------------------------------------------------------------ $(1,035,441) ------------------------------------------------------------------------------ Written Options Outstanding at June 30, 2002 (Unaudited) (premiums received $330,664) ------------------------------------------------------------------------------ Contract Expiration Date/ Market Amount Strike Price Value .............................................................................. 58,829 Capital One Financial Corp. (Call) Aug 02/ 65.00 USD $135,895 .............................................................................. 41,505 IDEC Pharmaceuticals Corp. (Put) Jul 02/ 31.51 USD 63,054 .............................................................................. 49,082 PeopleSoft, Inc. (Put) Jul 02/ 17.50 USD 151,173 .............................................................................. 33,435 UnitedHealth Group, Inc. (Call) Jul 02/ 95.00 USD 53,496 .............................................................................. 78,976 VERITAS Software Corp. (Put) Jul 02/ 21.59 USD 220,343 ------------------------------------------------------------------------------ $623,961 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Voyager Fund II The fund's portfolio June 30, 2002 (Unaudited) COMMON STOCKS (98.7%) (a) ------------------------------------------------------------------------------------------------------------------------ Number of Shares Value ........................................................................................................................ Aerospace and Defense (0.4%) ........................................................................................................................ 662 Lockheed Martin Corp. $46,009 ........................................................................................................................ 305 Northrop Grumman Corp. 38,125 ------------------------------------------------------------------------------------------------------------------------ 84,134 ------------------------------------------------------------------------------------------------------------------------ Airlines (1.6%) ........................................................................................................................ 880 JetBlue Airways Corp. (NON) 40,093 ........................................................................................................................ 6,980 Ryanair Holdings PLC ADR (Ireland) (NON) 243,400 ........................................................................................................................ 1,930 Southwest Airlines Co. 31,189 ------------------------------------------------------------------------------------------------------------------------ 314,682 ------------------------------------------------------------------------------------------------------------------------ Automotive (1.6%) ........................................................................................................................ 2,000 Advance Auto Parts, Inc. (NON) 109,020 ........................................................................................................................ 3,980 Gentex Corp. (NON) 109,331 ........................................................................................................................ 780 SPX Corp. (NON) 91,650 ------------------------------------------------------------------------------------------------------------------------ 310,001 ------------------------------------------------------------------------------------------------------------------------ Banking (4.9%) ........................................................................................................................ 925 Bank of New York Company, Inc. (The) 31,219 ........................................................................................................................ 200 Commerce Bancorp, Inc. 8,840 ........................................................................................................................ 5,940 Fifth Third Bancorp 395,901 ........................................................................................................................ 2,000 Greater Bay Bancorp 61,520 ........................................................................................................................ 1,750 New York Community Bancorp, Inc. 46,690 ........................................................................................................................ 8,205 TCF Financial Corp. 402,866 ........................................................................................................................ 1,230 U.S. Bancorp 28,721 ------------------------------------------------------------------------------------------------------------------------ 975,757 ------------------------------------------------------------------------------------------------------------------------ Beverage (1.1%) ........................................................................................................................ 776 Anheuser-Busch Companies, Inc. 38,800 ........................................................................................................................ 1,495 Coca-Cola Co. (The) 83,720 ........................................................................................................................ 1,255 Pepsi Bottling Group, Inc. (The) 38,654 ........................................................................................................................ 1,230 PepsiCo, Inc. 59,286 ------------------------------------------------------------------------------------------------------------------------ 220,460 ------------------------------------------------------------------------------------------------------------------------ Biotechnology (4.2%) ........................................................................................................................ 1,809 Amgen, Inc. (NON) 75,761 ........................................................................................................................ 2,320 Celgene Corp. (NON) 35,496 ........................................................................................................................ 4,540 Gilead Sciences, Inc. (NON) 149,275 ........................................................................................................................ 1,990 IDEC Pharmaceuticals Corp. (NON) 70,546 ........................................................................................................................ 4,960 ILEX Oncology, Inc. (NON) 69,886 ........................................................................................................................ 4,310 InterMune, Inc. (NON) 90,941 ........................................................................................................................ 1,565 Invitrogen Corp. (NON) 50,096 ........................................................................................................................ 5,300 Ligand Pharmaceuticals, Inc. Class B (NON) 76,850 ........................................................................................................................ 900 Ligand Pharmaceuticals, Inc. Class B (acquired 4/16/02, cost $14,670) (RES) (NON) 11,745 ........................................................................................................................ 1,290 MedImmune, Inc. (NON) 34,056 ........................................................................................................................ 5,515 Scios, Inc. (NON) 168,814 ------------------------------------------------------------------------------------------------------------------------ 833,466 ------------------------------------------------------------------------------------------------------------------------ Commercial and Consumer Services (4.3%) ........................................................................................................................ 3,850 CDW Computer Centers, Inc. (NON) 180,219 ........................................................................................................................ 5,113 Choicepoint, Inc. (NON) 232,488 ........................................................................................................................ 2,795 Cintas Corp. 138,157 ........................................................................................................................ 4,400 Corporate Executive Board Co. (The) (NON) 150,700 ........................................................................................................................ 3,620 TMP Worldwide, Inc. (NON) 77,830 ........................................................................................................................ 1,815 Weight Watchers International, Inc. (NON) 78,844 ------------------------------------------------------------------------------------------------------------------------ 858,238 ------------------------------------------------------------------------------------------------------------------------ Communications Equipment (1.4%) ........................................................................................................................ 5,402 Cisco Systems, Inc. (NON) 75,358 ........................................................................................................................ 7,155 Extreme Networks, Inc. (NON) 72,194 ........................................................................................................................ 4,580 Polycom, Inc. (NON) 54,914 ........................................................................................................................ 740 QUALCOMM, Inc. (NON) 20,343 ........................................................................................................................ 25,555 Sonus Networks, Inc. (NON) 51,621 ------------------------------------------------------------------------------------------------------------------------ 274,430 ------------------------------------------------------------------------------------------------------------------------ Computers (0.1%) ........................................................................................................................ 224 IBM Corp. 16,128 ------------------------------------------------------------------------------------------------------------------------ Computer Hardware (3.0%) ........................................................................................................................ 2,155 Dell Computer Corp. (NON) 56,332 ........................................................................................................................ 1,300 EMC Corp. (NON) 9,815 ........................................................................................................................ 10,660 Emulex Corp. (NON) 239,957 ........................................................................................................................ 1,560 McDATA Corp. Class A (NON) 13,744 ........................................................................................................................ 7,300 QLogic Corp. (NON) 278,130 ------------------------------------------------------------------------------------------------------------------------ 597,978 ------------------------------------------------------------------------------------------------------------------------ Computer Services (0.7%) ........................................................................................................................ 900 Automatic Data Processing, Inc. 39,195 ........................................................................................................................ 3,235 BISYS Group, Inc. (The) (NON) 107,726 ------------------------------------------------------------------------------------------------------------------------ 146,921 ------------------------------------------------------------------------------------------------------------------------ Conglomerates (1.0%) ........................................................................................................................ 7,110 General Electric Co. 206,546 ------------------------------------------------------------------------------------------------------------------------ Consumer Finance (0.5%) ........................................................................................................................ 2,530 AmeriCredit Corp. (NON) 70,967 ........................................................................................................................ 865 MBNA Corp. 28,606 ------------------------------------------------------------------------------------------------------------------------ 99,573 ------------------------------------------------------------------------------------------------------------------------ Consumer Goods (1.2%) ........................................................................................................................ 1,179 Colgate-Palmolive Co. 59,009 ........................................................................................................................ 6,820 Yankee Candle Company, Inc. (The) (NON) 184,754 ------------------------------------------------------------------------------------------------------------------------ 243,763 ------------------------------------------------------------------------------------------------------------------------ Distribution (0.2%) ........................................................................................................................ 1,070 Performance Food Group Co. (NON) 36,230 ------------------------------------------------------------------------------------------------------------------------ Electronics (11.9%) ........................................................................................................................ 11,420 Applied Micro Circuits Corp. (NON) 54,017 ........................................................................................................................ 920 Broadcom Corp. Class A (NON) 16,137 ........................................................................................................................ 2,170 Brooks-PRI Automation, Inc. (NON) 55,465 ........................................................................................................................ 760 Celestica, Inc. (Canada) (NON) 17,260 ........................................................................................................................ 6,310 Exar Corp. (NON) 124,433 ........................................................................................................................ 902 Integrated Circuit Systems, Inc. (NON) 18,200 ........................................................................................................................ 3,880 Integrated Device Technology, Inc. (NON) 70,383 ........................................................................................................................ 6,160 Intel Corp. 112,543 ........................................................................................................................ 5,550 Intersil Corp. Class A (NON) 118,659 ........................................................................................................................ 7,830 Linear Technology Corp. 246,097 ........................................................................................................................ 13,155 Marvell Technology Group, Ltd. (Bermuda) (NON) 261,653 ........................................................................................................................ 7,638 Maxim Integrated Products, Inc. (NON) 292,765 ........................................................................................................................ 5,655 Microchip Technology, Inc. (NON) 155,117 ........................................................................................................................ 940 Micron Technology, Inc. (NON) 19,007 ........................................................................................................................ 2,920 National Semiconductor Corp. (NON) 85,176 ........................................................................................................................ 11,335 PMC - Sierra, Inc. (NON) 105,075 ........................................................................................................................ 8,005 RF Micro Devices, Inc. (NON) 60,998 ........................................................................................................................ 5,300 Semtech Corp. (NON) 141,510 ........................................................................................................................ 8,050 Silicon Laboratories, Inc. (NON) 225,320 ........................................................................................................................ 10,160 Skyworks Solutions, Inc. (NON) 56,388 ........................................................................................................................ 1,450 Texas Instruments, Inc. 34,365 ........................................................................................................................ 2,560 Varian Semiconductor Equipment (NON) 86,861 ------------------------------------------------------------------------------------------------------------------------ 2,357,429 ------------------------------------------------------------------------------------------------------------------------ Energy (5.7%) ........................................................................................................................ 5,569 BJ Services Co. (NON) 188,678 ........................................................................................................................ 1,360 Cooper Cameron Corp. (NON) 65,851 ........................................................................................................................ 4,990 ENSCO International, Inc. 136,027 ........................................................................................................................ 3,808 GlobalSantaFe Corp. 104,149 ........................................................................................................................ 3,970 Nabor Industries, Ltd. (Barbardos) (NON) 140,141 ........................................................................................................................ 540 National-Oilwell, Inc. (NON) 11,367 ........................................................................................................................ 5,865 Patterson-UTI Energy, Inc. (NON) 165,569 ........................................................................................................................ 970 Smith International, Inc. (NON) 66,144 ........................................................................................................................ 9,185 Varco International, Inc. (NON) 161,105 ........................................................................................................................ 2,050 Weatherford Intl., Ltd. (NON) 88,560 ------------------------------------------------------------------------------------------------------------------------ 1,127,591 ------------------------------------------------------------------------------------------------------------------------ Entertainment (0.3%) ........................................................................................................................ 1,690 International Speedway Corp. Class A 67,769 ------------------------------------------------------------------------------------------------------------------------ Financial (0.4%) ........................................................................................................................ 1,486 Citigroup, Inc. 57,583 ........................................................................................................................ 480 Freddie Mac 29,376 ------------------------------------------------------------------------------------------------------------------------ 86,959 ------------------------------------------------------------------------------------------------------------------------ Food (0.7%) ........................................................................................................................ 947 Kraft Foods, Inc. Class A 38,780 ........................................................................................................................ 3,310 Krispy Kreme Doughnuts, Inc. (NON) 106,549 ------------------------------------------------------------------------------------------------------------------------ 145,329 ------------------------------------------------------------------------------------------------------------------------ Gaming & Lottery (1.0%) ........................................................................................................................ 3,400 Harrah's Entertainment, Inc. (NON) 150,790 ........................................................................................................................ 880 International Game Technology (NON) 49,896 ------------------------------------------------------------------------------------------------------------------------ 200,686 ------------------------------------------------------------------------------------------------------------------------ Health Care Services (9.9%) ........................................................................................................................ 3,180 Accredo Health, Inc. (NON) 146,725 ........................................................................................................................ 8,520 AdvancePCS (NON) 203,969 ........................................................................................................................ 4,305 AmerisourceBergen Corp. 327,180 ........................................................................................................................ 1,645 Anthem, Inc. (NON) 111,005 ........................................................................................................................ 323 Cardinal Health, Inc. 19,835 ........................................................................................................................ 15,340 Caremark Rx, Inc. (NON) 253,110 ........................................................................................................................ 5,865 Community Health Systems, Inc. (NON) 157,182 ........................................................................................................................ 2,080 Cross Country, Inc. (NON) 78,624 ........................................................................................................................ 1,042 HCA, Inc. 49,495 ........................................................................................................................ 7,000 Health Management Assoc., Inc. (NON) 141,050 ........................................................................................................................ 1,430 Laboratory Corporation of America Holdings (NON) 65,280 ........................................................................................................................ 8,990 Province Healthcare Co. (NON) 201,016 ........................................................................................................................ 1,610 Quest Diagnostics, Inc. (NON) 138,541 ........................................................................................................................ 608 UnitedHealth Group, Inc. 55,662 ........................................................................................................................ 434 Wellpoint Health Networks, Inc. (NON) 33,770 ------------------------------------------------------------------------------------------------------------------------ 1,982,444 ------------------------------------------------------------------------------------------------------------------------ Insurance (0.5%) ........................................................................................................................ 1,455 American International Group, Inc. 99,275 ........................................................................................................................ 3,335 Willis Group Holdings, Ltd. (United Kingdom) (NON) 109,755 ------------------------------------------------------------------------------------------------------------------------ 209,030 ------------------------------------------------------------------------------------------------------------------------ Investment Banking/Brokerage (1.0%) ........................................................................................................................ 2,090 Federated Investors, Inc. 72,251 ........................................................................................................................ 640 Merrill Lynch & Company, Inc. 25,920 ........................................................................................................................ 3,030 T Rowe Price Group, Inc. 99,626 ------------------------------------------------------------------------------------------------------------------------ 197,797 ------------------------------------------------------------------------------------------------------------------------ Leisure (0.2%) ........................................................................................................................ 600 Harley-Davidson, Inc. 30,762 ------------------------------------------------------------------------------------------------------------------------ Lodging/Tourism (1.3%) ........................................................................................................................ 10,970 Extended Stay America, Inc. (NON) 177,933 ........................................................................................................................ 1,795 Four Seasons Hotels, Inc. (Canada) 84,186 ------------------------------------------------------------------------------------------------------------------------ 262,119 ------------------------------------------------------------------------------------------------------------------------ Media (6.9%) ........................................................................................................................ 650 Clear Channel Communications, Inc. (NON) 20,813 ........................................................................................................................ 5,080 Cumulus Media, Inc. Class A (NON) 70,002 ........................................................................................................................ 1,844 Echostar Communications Corp. Class A (NON) 34,225 ........................................................................................................................ 3,450 Entercom Communications Corp. (NON) 158,355 ........................................................................................................................ 1,400 Fox Entertainment Group, Inc. Class A (NON) 30,450 ........................................................................................................................ 5,085 Lamar Advertising Co. (NON) 189,213 ........................................................................................................................ 1,560 Lin TV Corp. Class A (NON) 42,182 ........................................................................................................................ 10,590 Radio One, Inc. Class A (NON) 157,473 ........................................................................................................................ 4,260 Radio One, Inc. Class D (NON) 63,346 ........................................................................................................................ 1,654 Viacom, Inc. Class B (NON) 73,388 ........................................................................................................................ 15,340 Westwood One, Inc. (NON) 512,663 ------------------------------------------------------------------------------------------------------------------------ 1,352,110 ------------------------------------------------------------------------------------------------------------------------ Medical Technology (3.5%) ........................................................................................................................ 812 Baxter International, Inc. 36,093 ........................................................................................................................ 3,440 Charles River Laboratories International, Inc. (NON) 120,572 ........................................................................................................................ 70 Cytyc Corp. (NON) 533 ........................................................................................................................ 1,170 DENTSPLY International, Inc. 43,185 ........................................................................................................................ 1,062 Medtronic, Inc. 45,507 ........................................................................................................................ 2,175 Respironics, Inc. (NON) 74,059 ........................................................................................................................ 4,730 Varian Medical Systems, Inc. (NON) 191,802 ........................................................................................................................ 4,730 Zimmer Holdings, Inc. (NON) 168,672 ------------------------------------------------------------------------------------------------------------------------ 680,423 ------------------------------------------------------------------------------------------------------------------------ Metals (0.1%) ........................................................................................................................ 1,600 Liquidmetal Technologies (NON) 18,560 ------------------------------------------------------------------------------------------------------------------------ Oil & Gas (1.3%) ........................................................................................................................ 2,550 EOG Resources, Inc. 101,235 ........................................................................................................................ 4,335 Noble Corp. (NON) 167,331 ------------------------------------------------------------------------------------------------------------------------ 268,566 ------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals (3.7%) ........................................................................................................................ 600 Abbott Laboratories 22,590 ........................................................................................................................ 545 Allergan, Inc. 36,379 ........................................................................................................................ 810 Andrx Group (NON) 21,846 ........................................................................................................................ 1,960 Cephalon, Inc. (NON) 88,592 ........................................................................................................................ 2,145 Johnson & Johnson 112,098 ........................................................................................................................ 1,011 King Pharmaceuticals, Inc. (NON) 22,495 ........................................................................................................................ 758 Lilly (Eli) & Co. 42,751 ........................................................................................................................ 580 Merck & Company, Inc. 29,371 ........................................................................................................................ 5,930 Pfizer, Inc. 207,550 ........................................................................................................................ 1,481 Pharmacia Corp. 55,463 ........................................................................................................................ 1,500 Wyeth 76,800 ------------------------------------------------------------------------------------------------------------------------ 715,935 ------------------------------------------------------------------------------------------------------------------------ Restaurants (1.9%) ........................................................................................................................ 6,203 Applebee's International, Inc. 141,180 ........................................................................................................................ 2,920 CBRL Group, Inc. 88,856 ........................................................................................................................ 2,920 P.F. Chang's China Bistro, Inc. (NON) 91,746 ........................................................................................................................ 1,505 Starbucks Corp. (NON) 37,399 ........................................................................................................................ 650 Yum! Brands, Inc. (NON) 19,013 ------------------------------------------------------------------------------------------------------------------------ 378,194 ------------------------------------------------------------------------------------------------------------------------ Retail (12.0%) ........................................................................................................................ 4,090 99 Cents Only Stores (NON) 104,909 ........................................................................................................................ 4,140 AutoZone, Inc. (NON) 320,022 ........................................................................................................................ 8,210 Bed Bath & Beyond, Inc. (NON) 309,845 ........................................................................................................................ 2,982 Chico's FAS, Inc. (NON) 108,306 ........................................................................................................................ 1,695 Columbia Sportswear Co. (NON) 54,238 ........................................................................................................................ 9,520 Dollar Tree Stores, Inc. (NON) 375,183 ........................................................................................................................ 5,850 Family Dollar Stores, Inc. 206,213 ........................................................................................................................ 5,880 Foot Locker, Inc. (NON) 84,966 ........................................................................................................................ 930 Home Depot, Inc. (The) 34,159 ........................................................................................................................ 910 Kohl's Corp. (NON) 63,773 ........................................................................................................................ 1,760 Lowe's Companies, Inc. 79,904 ........................................................................................................................ 3,800 Michaels Stores, Inc. (NON) 148,200 ........................................................................................................................ 7,140 Office Depot, Inc. (NON) 119,952 ........................................................................................................................ 1,325 Ross Stores, Inc. 53,994 ........................................................................................................................ 1,240 Tiffany & Co. 43,648 ........................................................................................................................ 1,070 TJX Companies, Inc. (The) 20,983 ........................................................................................................................ 2,495 Wal-Mart Stores, Inc. 137,250 ........................................................................................................................ 340 Walgreen Co. 13,134 ........................................................................................................................ 4,000 Williams-Sonoma, Inc. (NON) 122,640 ------------------------------------------------------------------------------------------------------------------------ 2,401,319 ------------------------------------------------------------------------------------------------------------------------ Schools (1.9%) ........................................................................................................................ 5,745 Apollo Group, Inc. Class A (NON) 226,468 ........................................................................................................................ 2,500 Career Education Corp. (NON) 112,500 ........................................................................................................................ 800 Education Management Corp. (NON) 32,584 ------------------------------------------------------------------------------------------------------------------------ 371,552 ------------------------------------------------------------------------------------------------------------------------ Semiconductor (2.5%) ........................................................................................................................ 1,570 Applied Materials, Inc. (NON) 29,861 ........................................................................................................................ 1,265 Cymer, Inc. (NON) 44,326 ........................................................................................................................ 780 KLA-Tencor Corp. (NON) 34,312 ........................................................................................................................ 5,140 LAM Research Corp. (NON) 92,417 ........................................................................................................................ 4,445 LTX Corp. (NON) 63,475 ........................................................................................................................ 4,250 Novellus Systems, Inc. (NON) 144,500 ........................................................................................................................ 1,070 Photon Dynamics, Inc. (NON) 32,100 ........................................................................................................................ 3,120 Photronics, Inc. (NON) 59,093 ------------------------------------------------------------------------------------------------------------------------ 500,084 ------------------------------------------------------------------------------------------------------------------------ Shipping (0.2%) ........................................................................................................................ 300 Expeditors International of Washington, Inc. 9,948 ........................................................................................................................ 200 Heartland Express, Inc. (NON) 4,786 ........................................................................................................................ 100 Landstar Systems, Inc. (NON) 10,685 ........................................................................................................................ 500 Swift Transportation Co., Inc. (NON) 11,650 ------------------------------------------------------------------------------------------------------------------------ 37,069 ------------------------------------------------------------------------------------------------------------------------ Software (4.9%) ........................................................................................................................ 3,240 Cognos, Inc. (Canada) (NON) 71,896 ........................................................................................................................ 6,150 Documentum, Inc. (NON) 73,800 ........................................................................................................................ 570 Electronic Arts, Inc. (NON) 37,649 ........................................................................................................................ 2,280 Internet Security Systems, Inc. (NON) 29,914 ........................................................................................................................ 4,635 Microsoft Corp. (NON) 253,535 ........................................................................................................................ 6,890 Network Associates, Inc. (NON) 132,770 ........................................................................................................................ 2,330 Oracle Corp. (NON) 22,065 ........................................................................................................................ 550 PeopleSoft, Inc. (NON) 8,184 ........................................................................................................................ 4,743 Quest Software, Inc. (NON) 68,916 ........................................................................................................................ 2,510 Retek, Inc. (NON) 60,993 ........................................................................................................................ 2,240 Symantec Corp. (NON) 73,584 ........................................................................................................................ 12,870 webMethods, Inc. (NON) 127,413 ------------------------------------------------------------------------------------------------------------------------ 960,719 ------------------------------------------------------------------------------------------------------------------------ Staffing (0.1%) ........................................................................................................................ 800 Hewitt Associates, Inc. Class A (NON) 18,640 ------------------------------------------------------------------------------------------------------------------------ Telecommunications (0.1%) ........................................................................................................................ 1,200 Earthlink, Inc. (NON) 7,956 ........................................................................................................................ 5,340 Time Warner Telecom, Inc. Class A (NON) 8,971 ------------------------------------------------------------------------------------------------------------------------ 16,927 ------------------------------------------------------------------------------------------------------------------------ Tobacco (0.5%) ........................................................................................................................ 2,350 Philip Morris Companies, Inc. 102,648 ------------------------------------------------------------------------------------------------------------------------ Total Common Stocks (cost $20,516,104) $19,708,968 ------------------------------------------------------------------------------------------------------------------------ PURCHASED OPTIONS OUTSTANDING (--%) (a) (cost $2,465) ------------------------------------------------------------------------------------------------------------------------ Contract Amount Strike Price Value ........................................................................................................................ 830 Andrx Group (Call) Dec 02/ 36.00 USD $3,357 ------------------------------------------------------------------------------------------------------------------------ Total Investments (cost $20,521,815) (b) $19,712,325 ------------------------------------------------------------------------------------------------------------------------
Written Options at June 30, 2002 (Unaudited) (premium received $2,465) ------------------------------------------------------------------------------ Expiration Date/ Market Contract Amount Strike Price Value .............................................................................. 830 Andrx Group (Put) Dec 02/ 25.00 USD $4,612 ------------------------------------------------------------------------------ See page 168 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. PUTNAM VARIABLE TRUST Notes to the Portfolios June 30, 2002 (Unaudited) (a) Percentages indicated are based on net assets. (NON) Non-income-producing security. (STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and the date the fund will begin accruing interest or dividend income at this rate. (POR) A portion of the income will be received in additional securities. (RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities by fund did not exceed 5.0% of each fund's net assets. (DEF) Security is in default of principal and interest. (PIK) Income may be received in cash or additional securities at the discretion of the issuer. (SEG) A portion of these securities were pledged and segregated with the custodian to cover margin requirements for futures contracts on Putnam VT Asia Pacific Growth Fund, Putnam VT Capital Appreciation Fund, Putnam VT Diversified Income Fund, Putnam VT The George Putnam Fund of Boston, Putnam VT Global Asset Allocation Fund, Putnam VT High Yield Fund, Putnam VT Income Fund, Putnam VT Investors Fund, Putnam VT Research Fund, Putnam VT Utilities Growth and Income Fund, Putnam VT Vista Fund, and Putnam VT Voyager Fund at June 30, 2002. (d) See footnote 1 to the Financial Statements. (R) Real Estate Investment Trust. 144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ADR or GDR after the name of a foreign holding stands for American Depositary Receipts or Global Depositary Receipts, respectively, representing ownership of foreign securities on deposit with a custodian bank. TBA after the name of a security represents to be announced securities (Note 1). FLIRB represents Front Loaded Interest Reduction Bond. The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates shown at June 30, 2002, which are subject to change based on the terms of the security. (b) On June 30, 2002, the composition of unrealized appreciation and depreciation of investment securities based on the aggregate cost of investments on a tax basis was as follows:
Federal Tax Appreciation Depreciation Net Cost ------------ ------------ ----------- ----------- Putnam VT American Government Income Fund $3,894,561 $596,671 $3,297,890 $286,192,236 Putnam VT Asia Pacific Growth Fund 1,561,167 9,802,404 (8,241,237) 79,001,329 Putnam VT Capital Appreciation Fund 703,053 2,093,408 (1,390,355) 26,971,110 Putnam VT Diversified Income Fund 22,426,091 81,781,303 (59,355,212) 623,101,117 Putnam VT The George Putnam Fund of Boston 35,412,394 45,564,568 (10,152,174) 668,242,221 Putnam VT Global Asset Allocation Fund 22,221,358 56,169,351 (33,947,993) 597,908,179 Putnam VT Global Growth Fund -- 99,477,698 (99,477,698) 1,071,093,392 Putnam VT Growth and Income Fund 880,027,784 999,175,974 (119,148,190) 6,952,730,793 Putnam VT Growth Opportunities Fund 114,011 20,620,634 (20,506,623) 95,359,281 Putnam VT Health Sciences Fund 34,037,086 51,194,072 (17,156,986) 412,474,221 Putnam VT High Yield Fund 20,137,599 193,170,142 (173,032,543) 799,540,272 Putnam VT Income Fund 18,488,450 23,897,368 (5,408,918) 1,314,491,505 Putnam VT International Growth Fund 31,931,032 112,125,369 (80,194,337) 905,570,954 Putnam VT International Growth and Income Fund 14,628,106 20,695,097 (6,066,991) 322,626,804 Putnam VT International New Opportunities Fund 19,769,227 12,977,617 6,791,610 284,011,180 Putnam VT Investors Fund 27,880,096 65,379,981 (37,499,885) 702,152,930 Putnam VT Money Market Fund -- -- -- 949,138,375 Putnam VT New Opportunities Fund 212,482,048 606,131,644 (393,649,596) 2,745,158,244 Putnam VT New Value Fund 62,485,181 93,183,740 (30,698,559) 612,050,767 Putnam VT OTC & Emerging Growth Fund 4,649,525 32,235,992 (27,586,467) 148,076,623 Putnam VT Research Fund 953,194 42,693,256 (41,740,062) 312,782,405 Putnam VT Small Cap Value Fund 78,908,000 49,938,192 28,969,808 574,035,800 Putnam VT Technology Fund -- 10,832,624 (10,832,624) 33,015,268 Putnam VT Utilities Growth and Income Fund 70,648,591 59,456,863 11,191,728 516,608,845 Putnam VT Vista Fund 34,556,118 116,605,006 (82,048,888) 651,301,512 Putnam VT Voyager Fund 139,585,234 809,685,277 (670,100,043) 4,727,306,144 Putnam VT Voyager Fund II 353,629 2,644,416 (2,290,787) 22,003,112 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities --------------------------------------------------------------------------------------------------------------------------------- June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT American Putnam VT Capital Putnam VT The George Government Asia Pacific Appreciation Diversified Putnam Fund Income Fund Growth Fund Fund Income Fund of Boston --------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $289,490,126 $70,760,092 $25,580,755 $563,745,905 $658,090,047 Cash -- -- 911 8,183,892 -- Foreign currency, at value (Note 1) -- 273,136 -- 1,125,672 -- Dividends, interest, and other receivables 2,224,549 103,296 41,077 10,353,930 3,273,222 Receivable for shares of the fund sold 1,026,756 77,445 12,578 107,452 914,369 Receivable for securities sold 18,304,490 796,687 558,712 27,828,932 30,814,146 Receivable for variation margin (Note 1) -- -- -- 29,585 -- Receivable for open swap contracts (Note 1) -- -- -- 476,468 -- Receivable for open forward currency contracts (Note 1) -- 19,151 -- 1,131,263 -- Receivable for closed forward currency contracts (Note 1) -- 55,448 -- 115,689 -- Foreign tax reclaim -- -- -- -- 2,579 ................................................................................................................................. Total assets 311,045,921 72,085,255 26,194,033 613,098,788 693,094,363 ................................................................................................................................. Liabilities Payable to subcustodian (Note 2) 4,668 2,674,238 -- -- 672,979 Payable for variation margin (Note 1) -- 14,736 950 -- 36,043 Payable for securities purchased 28,904,222 505,511 533,670 32,206,643 78,753,570 Payable for shares of the fund repurchased 22,019 11,660 1,699 605,657 198,070 Payable for compensation of Manager (Note 2) 393,272 139,188 14,158 1,009,474 945,244 Payable for investor servicing and custodian fees (Note 2) 32,196 37,756 10,948 77,913 75,338 Payable for compensation of Trustees (Note 2) 3,331 22,739 848 33,772 14,516 Payable for administrative services (Note 2) 477 1,065 717 2,357 2,327 Payable for distribution fees (Note 2) 21,252 960 2,666 20,443 36,695 Written options outstanding, at value (Note 1) -- -- 28,726 -- 79,306 Collateral on securities loaned, at value (Note 1) -- 1,973,762 121,894 10,149 2,218,260 Payable for open forward currency contracts (Note 1) -- -- -- 1,078,337 -- Payable for closed forward currency contracts (Note 1) -- -- -- 28,115 -- TBA sales commitments, at value (Note 1) -- -- -- -- 18,157,388 Other accrued expenses 18,881 24,670 16,507 67,361 37,397 ................................................................................................................................. Total liabilities 29,400,318 5,406,285 732,783 35,140,221 101,227,133 ................................................................................................................................. Net assets $281,645,603 $66,678,970 $25,461,250 $577,958,567 $591,867,230 ................................................................................................................................. Represented by: Paid-in capital (Notes 1 and 4) $272,240,242 $111,483,804 $31,155,030 $728,692,396 $609,966,041 Undistributed net investment income (loss) (Note 1) 4,783,690 (33,054) 25,539 23,093,850 7,982,644 Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) 1,281,166 (40,307,618) (4,564,479) (117,398,953) (20,277,146) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 3,340,505 (4,464,162) (1,154,840) (56,428,726) (5,804,309) ................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $281,645,603 $66,678,970 $25,461,250 $577,958,567 $591,867,230 ................................................................................................................................. Computation of net asset value Class IA Net Assets $173,503,865 $62,127,803 $12,781,540 $479,330,037 $414,610,312 Number of shares outstanding 14,774,773 11,484,085 1,938,025 58,680,575 41,091,384 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $11.74 $5.41 $6.60 $8.17 $10.09 Computation of net asset value Class IB Net Assets $108,141,738 $4,551,167 $12,679,710 $98,628,530 $177,256,918 Number of shares outstanding 9,233,978 847,080 1,929,810 12,155,647 17,617,262 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $11.71 $5.37 $6.57 $8.11 $10.06 ................................................................................................................................. Cost of investments (Note 1) $286,149,621 $75,245,948 $26,722,035 $620,758,886 $663,483,992 Cost of foreign currency (Note 1) -- 283,282 -- 1,069,892 -- Premiums received on written options (Note 1) -- -- 19,624 -- 71,779 Value of securities on loan (Note 1) -- 1,886,935 115,588 9,626 2,112,252 Proceeds receivable on TBA sales commitments (Note 1) -- -- -- -- 18,170,132 ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) --------------------------------------------------------------------------------------------------------------------------------- June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT Putnam VT Growth Putnam VT Global Asset Global Growth Growth and Opportunities Health Sciences Allocation Fund Fund Income Fund Fund Fund --------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $563,960,186 $971,615,694 $6,833,582,603 $74,852,658 $395,317,235 Cash 414,187 -- -- -- -- Foreign currency, at value (Note 1) 10,120,515 1,518,287 -- -- -- Dividends, interest, and other receivables 2,419,043 1,630,364 12,571,803 84,735 330,227 Receivable for shares of the fund sold 2,387 167,375 236,737 29,639 336,445 Receivable for securities sold 12,414,541 17,464,842 38,807,898 630,875 3,103,246 Receivable for open swap contracts (Note 1) 1,424,260 -- -- -- -- Receivable for open forward currency contracts (Note 1) 1,585,135 -- -- -- -- Receivable for closed forward currency contracts (Note 1) 243,094 -- -- -- -- Foreign tax reclaim 135,881 496,032 10,942 -- 72,631 ................................................................................................................................. Total assets 592,719,229 992,892,594 6,885,209,983 75,597,907 399,159,784 ................................................................................................................................. Liabilities Payable to subcustodian (Note 2) -- 1,648,985 176,297 1,768 2,072,841 Payable for variation margin (Note 1) 886,095 -- -- -- -- Payable for securities purchased 16,195,935 12,579,029 16,543,290 53,176 71,814 Payable for shares of the fund repurchased 874,938 976,402 5,027,632 6,141 345,104 Payable for compensation of Manager (Note 2) 1,012,533 1,951,700 8,771,427 149,780 756,061 Payable for investor servicing and custodian fees (Note 2) 189,426 159,884 458,619 13,955 67,756 Payable for compensation of Trustees (Note 2) 55,965 112,720 260,155 1,345 15,858 Payable for administrative services (Note 2) 2,297 1,433 8,411 1,078 1,540 Payable for distribution fees (Note 2) 5,265 16,608 148,129 7,487 25,646 Written options outstanding, at value (Note 1) 254,700 -- -- 17,118 -- Collateral on securities loaned, at value (Note 1) 7,907,284 24,383,010 22,233,690 -- 4,985,896 Payable for open forward currency contracts (Note 1) 3,392,352 -- -- -- -- Payable for closed forward currency contracts (Note 1) 58,612 -- -- -- -- Payable for open swap contracts (Note 1) 247,533 -- -- -- -- TBA sales commitments, at value (Note 1) 4,757,021 -- -- -- -- Other accrued expenses 59,265 91,987 215,222 21,641 32,805 ................................................................................................................................. Total liabilities 35,899,221 41,921,758 53,842,872 273,489 8,375,321 ................................................................................................................................. Net assets $556,820,008 $950,970,836 $6,831,367,111 $75,324,418 $390,784,463 ................................................................................................................................. Represented by: Paid-in capital (Notes 1 and 4) $635,679,410 $1,902,030,579 $6,871,273,440 $178,145,075 $453,412,538 Undistributed net investment income (loss) (Note 1) 7,705,701 4,396,690 57,781,364 (60,281) 742,107 Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (62,014,280) (883,294,099) (170,648,553) (85,483,004) (49,739,621) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (24,550,823) (72,162,334) 72,960,860 (17,277,372) (13,630,561) ................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $556,820,008 $950,970,836 $6,831,367,111 $75,324,418 $390,784,463 ................................................................................................................................. Computation of net asset value Class IA Net Assets $531,776,553 $871,256,534 $6,128,513,659 $40,214,715 $268,106,576 Number of shares outstanding 42,505,098 107,849,399 291,714,155 9,611,908 26,815,958 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $12.51 $8.08 $21.01 $4.18 $10.00 Computation of net asset value Class IB Net Assets $25,043,455 $79,714,302 $702,853,452 $35,109,703 $122,677,887 Number of shares outstanding 1,999,623 9,936,016 33,601,603 8,431,608 12,326,634 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $12.52 $8.02 $20.92 $4.16 $9.95 ................................................................................................................................. Cost of investments (Note 1) $588,160,329 $1,043,864,417 $6,760,621,743 $92,129,219 $408,955,226 Cost of foreign currency (Note 1) 9,490,329 1,499,900 -- -- -- Premiums received on written options (Note 1) 194,848 -- -- 16,307 -- Value of securities on loan (Note 1) 7,479,576 23,189,343 20,227,311 -- 4,824,915 Proceeds receivable on TBA sales commitments (Note 1) 4,759,772 -- -- -- -- --------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) --------------------------------------------------------------------------------------------------------------------------------- June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT Putnam VT International International International New High Yield Putnam VT Growth Growth and Opportunities Fund Income Fund Fund Income Fund Fund --------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $626,507,729 $1,309,082,587 $825,376,617 $316,559,813 $290,802,790 Cash 4,658,305 1,557,633 6,629,164 285,286 306,626 Foreign currency, at value (Note 1) -- -- 395,382 1,208,996 100 Dividends, interest, and other receivables 13,633,452 10,575,963 978,586 410,847 649,464 Receivable for shares of the fund sold 27,598 169,702 190,725 111,293 1,507 Receivable for securities sold 5,292,712 104,774,623 5,666,197 -- 4,457,436 Receivable for variation margin (Note 1) -- 11,844 -- -- -- Receivable for open swap contracts (Note 1) 1,208,186 -- -- -- -- Foreign tax reclaim -- -- 1,037,786 729,330 169,574 ................................................................................................................................. Total assets 651,327,982 1,426,172,352 840,274,457 319,305,565 296,387,497 ................................................................................................................................. Liabilities Payable for variation margin (Note 1) 2,625 -- -- -- -- Payable for securities purchased 7,378,203 281,861,370 6,546,195 -- 6,170,508 Payable for shares of the fund repurchased 679,039 494,092 17,027,495 221,010 489,119 Payable for compensation of Manager (Note 2) 1,168,377 1,546,930 1,525,032 646,189 711,545 Payable for investor servicing and custodian fees (Note 2) 70,129 95,932 243,112 99,440 29,388 Payable for compensation of Trustees (Note 2) 66,044 59,505 25,108 19,692 19,010 Payable for administrative services (Note 2) 2,407 3,998 2,478 544 1,610 Payable for distribution fees (Note 2) 14,433 37,079 61,657 10,201 30,687 Written options outstanding, at value (Note 1) -- 153,160 -- -- -- Collateral on securities loaned, at value (Note 1) 49,347 2,533 18,960,864 -- 15,327,366 TBA sales commitments, at value (Note 1) -- 81,812,352 -- -- -- Other accrued expenses 88,694 78,269 45,405 33,439 6,117 ................................................................................................................................. Total liabilities 9,519,298 366,145,220 44,437,346 1,030,515 22,785,350 ................................................................................................................................. Net assets $641,808,684 $1,060,027,132 $795,837,111 $318,275,050 $273,602,147 ................................................................................................................................. Represented by: Paid-in capital (Notes 1 and 4) $1,075,922,456 $1,074,016,924 $991,994,001 $384,437,099 $487,331,049 Undistributed net investment income (loss) (Note 1) 25,890,719 28,094,527 6,061,249 2,988,062 527,882 Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (293,402,705) (37,539,237) (138,888,277) (69,192,802) (226,583,980) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (166,601,786) (4,545,082) (63,329,862) 42,691 12,327,196 ................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $641,808,684 $1,060,027,132 $795,837,111 $318,275,050 $273,602,147 ................................................................................................................................. Computation of net asset value Class IA Net Assets $573,954,928 $875,187,821 $479,913,749 $266,773,100 $123,090,711 Number of shares outstanding 83,030,460 70,805,192 40,428,459 26,903,816 12,821,868 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $6.91 $12.36 $11.87 $9.92 $9.60 Computation of net asset value Class IB Net Assets $67,853,756 $184,839,311 $315,923,362 $51,501,950 $150,511,436 Number of shares outstanding 9,839,554 15,010,019 26,713,457 5,205,207 15,736,684 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $6.90 $12.31 $11.83 $9.89 $9.56 ................................................................................................................................. Cost of investments (Note 1) $794,410,279 $1,314,257,884 $888,847,371 $316,629,978 $278,504,311 Cost of foreign currency (Note 1) -- -- 384,713 1,153,317 67 Premiums received on written options (Note 1) -- 149,577 -- -- -- Value of securities on loan (Note 1) 46,796 2,403 18,210,740 -- 14,619,505 Proceeds receivable on TBA sales commitments (Note 1) -- 81,869,842 -- -- -- --------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) --------------------------------------------------------------------------------------------------------------------------------- June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT Investors Money New Opportunities New Value OTC & Emerging Fund Market Fund Fund Fund Growth Fund --------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $664,653,045 $949,138,375 $2,351,508,648 $581,352,208 $120,490,156 Cash -- 40,834 236,929 49,928 -- Dividends, interest, and other receivables 811,124 1,504,000 882,693 1,063,905 15,155 Receivable for shares of the fund sold 14,900 2,357,943 32,842 129,936 38,974 Receivable for securities sold 21,101,885 -- 7,771,928 1,735,078 841,549 ................................................................................................................................. Total assets 686,580,954 953,041,152 2,360,433,040 584,331,055 121,385,834 ................................................................................................................................. Liabilities Payable to subcustodian (Note 2) 1,757,547 -- -- -- -- Payable for variation margin (Note 1) 10,921 -- -- -- -- Distributions payable to shareholders -- 76,551 -- -- -- Payable for securities purchased 8,177,373 -- 9,695,269 5,931,794 1,316,066 Payable for shares of the fund repurchased 760,964 53,427 4,099,827 245,968 105,225 Payable for compensation of Manager (Note 2) 1,145,836 915,639 3,824,811 1,025,308 242,932 Payable for investor servicing and custodian fees (Note 2) 75,613 73,637 185,668 58,374 24,295 Payable for compensation of Trustees (Note 2) 22,383 24,831 153,375 17,144 13,192 Payable for administrative services (Note 2) 2,357 2,197 7,127 2,287 1,450 Payable for distribution fees (Note 2) 46,366 29,993 33,032 22,362 9,468 Written options outstanding, at value (Note 1) 28,767 -- 573,839 -- 49,732 Collateral on securities loaned, at value (Note 1) 4,469,003 -- -- 6,985,168 -- Other accrued expenses 52,816 112,774 128,376 35,454 26,906 ................................................................................................................................. Total liabilities 16,549,946 1,289,049 18,701,324 14,323,859 1,789,266 ................................................................................................................................. Net assets $670,031,008 $951,752,103 $2,341,731,716 $570,007,196 $119,596,568 ................................................................................................................................. Represented by: Paid-in capital (Notes 1 and 4) $1,128,542,697 $951,752,103 $3,925,155,445 $586,024,992 $507,923,076 Undistributed net investment income (loss) (Note 1) 1,197,639 -- (3,335,456) 3,591,161 (614,317) Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (432,537,783) -- (1,220,497,130) 6,229,576 (371,378,988) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (27,171,545) -- (359,591,143) (25,838,533) (16,333,203) ................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $670,031,008 $951,752,103 $2,341,731,716 $570,007,196 $119,596,568 ................................................................................................................................. Computation of net asset value Class IA Net Assets $451,978,358 $801,674,746 $2,188,153,563 $463,202,002 $75,395,109 Number of shares outstanding 57,589,905 801,674,746 166,339,878 38,254,677 15,863,738 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $7.85 $1.00 $13.15 $12.11 $4.75 Computation of net asset value Class IB Net Assets $218,052,650 $150,077,357 $153,578,153 $106,805,194 $44,201,459 Number of shares outstanding 27,885,587 150,077,357 11,776,904 8,853,879 9,361,250 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $7.82 $1.00 $13.04 $12.06 $4.72 ................................................................................................................................. Cost of investments (Note 1) $691,811,421 $949,138,375 $2,710,878,490 $607,190,741 $136,800,208 Premiums received on written options (Note 1) 26,519 -- 352,538 -- 26,582 Value of securities on loan (Note 1) 4,253,405 -- -- 6,545,994 -- --------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) --------------------------------------------------------------------------------------------------------------------------------- June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT Research Small Cap Technology Utilities Growth Vista Fund Value Fund Fund and Income Fund Fund --------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $271,042,343 $603,005,608 $22,182,644 $527,800,573 $569,252,624 Cash 266,776 912,847 -- -- -- Dividends, interest, and other receivables 292,790 587,271 13,879 2,129,711 158,322 Receivable for shares of the fund sold 45,058 1,256,759 48,057 36,296 43,124 Receivable for securities sold 4,778,412 1,511,780 -- 45,814,283 4,820,625 Foreign tax reclaim -- -- -- 63,226 -- ................................................................................................................................. Total assets 276,425,379 607,274,265 22,244,580 575,844,089 574,274,695 ................................................................................................................................. Liabilities Payable to subcustodian (Note 2) -- -- 29 1,478,441 177,858 Payable for variation margin (Note 1) 7,841 -- -- 3,438 10,460 Payable for securities purchased 2,678,382 1,641,036 -- 35,991,226 3,984,588 Payable for shares of the fund repurchased 275,754 560,519 12,105 605,153 1,296,974 Payable for compensation of Manager (Note 2) 493,429 1,104,576 19,387 1,013,832 1,005,775 Payable for investor servicing and custodian fees (Note 2) 42,725 76,304 6,395 70,580 62,374 Payable for compensation of Trustees (Note 2) 11,084 5,091 2,813 63,168 19,726 Payable for administrative services (Note 2) 1,540 752 1,048 2,377 772 Payable for distribution fees (Note 2) 24,084 46,192 2,713 10,553 50,747 Written options outstanding, at value (Note 1) -- -- -- -- 263,076 Collateral on securities loaned, at value (Note 1) 358,820 31,931,766 453,648 9,806,360 13,930,828 Other accrued expenses 25,872 27,593 18,100 48,076 45,786 ................................................................................................................................. Total liabilities 3,919,531 35,393,829 516,238 49,093,204 20,848,964 ................................................................................................................................. Net assets $272,505,848 $571,880,436 $21,728,342 $526,750,885 $553,425,731 ................................................................................................................................. Represented by: Paid-in capital (Notes 1 and 4) $390,871,021 $530,339,716 $59,404,297 $614,262,959 $1,068,957,618 Undistributed net investment income (loss) (Note 1) 641,926 598,341 (164,846) 9,184,916 (1,390,365) Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (83,554,982) 10,684,062 (30,249,112) (101,594,439) (451,305,194) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (35,452,117) 30,258,317 (7,261,997) 4,897,449 (62,836,328) ................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $272,505,848 $571,880,436 $21,728,342 $526,750,885 $553,425,731 ................................................................................................................................. Computation of net asset value Class IA Net Assets $159,406,406 $343,342,278 $9,470,679 $477,334,517 $319,444,320 Number of shares outstanding 17,112,263 22,316,519 3,139,673 44,934,902 34,728,116 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $9.32 $15.39 $3.02 $10.62 $9.20 Computation of net asset value Class IB Net Assets $113,099,442 $228,538,158 $12,257,663 $49,416,368 $233,981,411 Number of shares outstanding 12,185,928 14,923,326 4,086,393 4,666,879 25,597,176 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $9.28 $15.31 $3.00 $10.59 $9.14 ................................................................................................................................. Cost of investments (Note 1) $306,488,989 $572,747,291 $29,444,641 $522,998,291 $631,940,517 Premiums received on written options (Note 1) -- -- -- -- 112,461 Value of securities on loan (Note 1) 304,279 29,240,206 426,410 9,301,700 13,472,710 --------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) ------------------------------------------------------------------------------ June 30, 2002 (Unaudited) Putnam VT Putnam VT Voyager Voyager Fund Fund II ------------------------------------------------------------------------------ Assets Investments in securities, at value (Note 1) $4,057,206,101 $19,712,325 Cash 13,859 315,478 Dividends, interest, and other receivables 3,845,089 7,036 Receivable for shares of the fund sold 91,265 58,978 Receivable for securities sold 49,408,531 162,012 Foreign tax reclaim 13,870 -- .............................................................................. Total assets 4,110,578,715 20,255,829 .............................................................................. Liabilities Payable for variation margin (Note 1) 109,495 -- Payable for securities purchased 13,081,205 218,731 Payable for shares of the fund repurchased 4,808,335 16,540 Payable for compensation of Manager (Note 2) 6,168,639 12,441 Payable for investor servicing and custodian fees (Note 2) 315,777 15,238 Payable for compensation of Trustees (Note 2) 209,326 272 Payable for administrative services (Note 2) 7,738 17 Payable for distribution fees (Note 2) 89,194 3,195 Written options outstanding, at value (Note 1) 623,961 4,612 Collateral on securities loaned, at value (Note 1) 36,762,710 -- Other accrued expenses 188,080 15,634 .............................................................................. Total liabilities 62,364,460 286,680 .............................................................................. Net assets $4,048,214,255 $19,969,149 .............................................................................. Represented by: Paid-in capital (Notes 1 and 4) $5,668,014,077 $28,908,629 Undistributed net investment income (loss) (Note 1) 11,439,334 (137,391) Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (1,153,226,071) (7,990,452) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (478,013,085) (811,637) .............................................................................. Total -- Representing net assets applicable to capital shares outstanding $4,048,214,255 $19,969,149 .............................................................................. Computation of net asset value Class IA Net Assets $3,631,591,095 $4,915,821 Number of shares outstanding 152,732,068 1,216,131 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $23.78 $4.04 Computation of net asset value Class IB Net Assets $416,623,160 $15,053,328 Number of shares outstanding 17,603,462 3,738,552 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $23.67 $4.03 .............................................................................. Cost of investments (Note 1) $4,533,891,723 $20,521,815 Premiums received on written options (Note 1) 330,664 2,465 Value of securities on loan (Note 1) 35,544,455 -- ------------------------------------------------------------------------------ THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Operations ---------------------------------------------------------------------------------------------------------------------------------- Six months ended June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT American Putnam VT Capital Putnam VT The George Government Asia Pacific Appreciation Diversified Putnam Fund Income Fund Growth Fund Fund Income Fund of Boston ---------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $-- $508,713 $160,385 $521,081 $3,546,556 Interest 5,809,309 8,343 15,590 26,371,326 6,798,208 Securities lending -- 9,277 506 251 4,434 Less foreign taxes withheld -- (37,835) (3) -- (4,588) .................................................................................................................................. Total investment income 5,809,309 488,498 176,478 26,892,658 10,344,610 .................................................................................................................................. Expenses Compensation of Manager (Note 2) 745,351 269,337 81,057 1,999,054 1,828,385 Investor servicing and custodian fees (Note 2) 105,247 91,569 36,369 254,466 228,065 Compensation of Trustees (Note 2) 5,909 6,263 976 11,451 10,873 Administrative services (Note 2) 3,268 3,148 2,159 6,933 7,990 Distribution fees-Class IB (Note 2) 109,135 5,623 14,536 120,484 213,141 Auditing 9,814 12,762 11,976 30,285 17,834 Other 15,178 13,715 6,446 65,863 96,176 .................................................................................................................................. Total expenses 993,902 402,417 153,519 2,488,536 2,402,464 .................................................................................................................................. Expense reduction (Note 2) (22,925) (49,444) (1,979) (20,712) (65,501) Net expenses 970,977 352,973 151,540 2,467,824 2,336,963 .................................................................................................................................. Net investment income (loss) 4,838,332 135,525 24,938 24,424,834 8,007,647 .................................................................................................................................. Net realized gain (loss) on investments (Notes 1 and 3) 1,545,553 (4,676,965) (2,406,609) (15,283,106) (7,396,907) Net realized gain (loss) on futures contracts (Note 1) -- (52,032) (66,004) (1,542,822) (977,598) Net realized gain (loss) on written options (Notes 1 and 3) -- -- 3,230 (6,330) 12,124 Net realized gain (loss) on foreign currency transactions (Note 1) -- 28,202 -- 237,019 (420) Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the period -- 37,871 -- 1,288,606 1,955 Net unrealized appreciation (depreciation) of investments, written options, TBA sale commitments, swap contracts and futures contracts during the period 1,903,407 7,495,484 (1,925,278) (577,880) (22,484,922) .................................................................................................................................. Net gain (loss) on investments 3,448,960 2,832,560 (4,394,661) (15,884,513) (30,845,768) .................................................................................................................................. Net increase (decrease) in net assets resulting from operations $8,287,292 $2,968,085 $(4,369,723) $8,540,321 $(22,838,121) ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Operations (continued) ---------------------------------------------------------------------------------------------------------------------------------- Six months ended June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT Putnam VT Growth Putnam VT Global Asset Global Growth Growth and Opportunities Health Sciences Allocation Fund Fund Income Fund Fund Fund ---------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $3,437,266 $9,510,304 $76,804,010 $362,427 $2,724,557 Interest 6,303,502 76,206 1,080,985 22,520 52,063 Securities lending 17,804 136,288 54,425 1,377 13,098 Less foreign taxes withheld (138,471) (622,763) (29,606) (614) (105,413) .................................................................................................................................. Total investment income 9,620,101 9,100,035 77,909,814 385,710 2,684,305 .................................................................................................................................. Expenses Compensation of Manager (Note 2) 2,056,021 4,056,116 17,801,174 317,221 1,555,633 Investor servicing and custodian fees (Note 2) 510,204 576,911 1,408,737 43,906 192,441 Compensation of Trustees (Note 2) 11,391 8,966 26,116 3,577 7,796 Administrative services (Note 2) 6,771 9,837 24,909 3,180 4,542 Distribution fees-Class IB (Note 2) 32,452 108,378 917,427 51,211 161,926 Auditing 31,937 30,689 32,090 11,548 9,930 Other 31,803 73,113 235,260 15,348 34,582 .................................................................................................................................. Total expenses 2,680,579 4,864,010 20,445,713 445,991 1,966,850 .................................................................................................................................. Expense reduction (Note 2) (126,526) (455,832) (199,615) -- (46,478) Net expenses 2,554,053 4,408,178 20,246,098 445,991 1,920,372 .................................................................................................................................. Net investment income (loss) 7,066,048 4,691,857 57,663,716 (60,281) 763,933 .................................................................................................................................. Net realized gain (loss) on investments (Notes 1 and 3) (12,469,804) (89,832,991) 21,682,545 (11,137,850) (15,699,757) Net realized gain (loss) on futures contracts (Note 1) (4,219,173) -- 158,840 -- 118,416 Net realized gain (loss) on swap contracts (Note 1) 798,935 -- -- -- -- Net realized gain (loss) on written options (Notes 1 and 3) 60,772 -- -- 31,351 -- Net realized gain (loss) on foreign currency transactions (Note 1) 1,026,786 (18,847) -- -- 371 Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the period (1,683,703) 83,171 -- -- 7,028 Net unrealized appreciation (depreciation) of investments, written options, TBA sale commitments, swap contracts and futures contracts during the period (18,458,248) (69,290,664) (768,159,945) (10,061,387) (55,187,403) .................................................................................................................................. Net gain (loss) on investments (34,944,435) (159,059,331) (746,318,560) (21,167,886) (70,761,345) .................................................................................................................................. Net increase (decrease) in net assets resulting from operations $(27,878,387) $(154,367,474) $(688,654,844) $(21,228,167) $(69,997,412) ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Operations (continued) ---------------------------------------------------------------------------------------------------------------------------------- Six months ended June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT Putnam VT International International International New High Yield Putnam VT Growth Growth and Opportunities Fund Income Fund Fund Income Fund Fund ---------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $1,677,595 $-- $11,048,401 $5,014,771 $3,718,291 Interest 36,474,093 32,205,736 180,689 42,618 25,744 Securities lending 640 -- 244,899 -- 122,468 Less foreign taxes withheld -- -- (1,208,265) (539,525) (427,516) .................................................................................................................................. Total investment income 38,152,328 32,205,736 10,265,724 4,517,864 3,438,987 .................................................................................................................................. Expenses Compensation of Manager (Note 2) 2,336,546 3,068,259 2,980,252 1,256,705 1,424,019 Investor servicing and custodian fees (Note 2) 229,731 295,151 686,980 267,848 290,418 Compensation of Trustees (Note 2) 12,401 17,891 12,453 8,144 7,638 Administrative services (Note 2) 7,094 11,772 7,329 3,733 4,760 Distribution fees-Class IB (Note 2) 85,773 203,316 354,345 57,752 191,785 Auditing 26,941 24,954 17,443 13,811 9,154 Other 73,272 99,466 46,450 27,419 24,471 .................................................................................................................................. Total expenses 2,771,758 3,720,809 4,105,252 1,635,412 1,952,245 .................................................................................................................................. Expense reduction (Note 2) (5,972) (44,277) (238,651) (163,205) (178,090) Net expenses 2,765,786 3,676,532 3,866,601 1,472,207 1,774,155 .................................................................................................................................. Net investment income (loss) 35,386,542 28,529,204 6,399,123 3,045,657 1,664,832 .................................................................................................................................. Net realized gain (loss) on investments (Notes 1 and 3) (52,808,388) 147,458 (33,695,990) 2,299,197 (13,687,465) Net realized gain (loss) on futures contracts (Note 1) (30,758) 1,375,579 -- -- -- Net realized gain (loss) on swap contracts (Note 1) 102,415 -- -- -- -- Net realized gain (loss) on written options (Notes 1 and 3) (132,837) 59,852 9,212 -- -- Net realized gain (loss) on foreign currency transactions (Note 1) (1,766) -- (28,920) 29,674 213,753 Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the period (5,832) -- 141,456 230,445 (199,019) Net unrealized appreciation (depreciation) of investments, written options, TBA sale commitments, swap contracts and futures contracts during the period (1,236,792) 2,209,082 3,552,464 1,342,302 8,588,438 .................................................................................................................................. Net gain (loss) on investments (54,113,958) 3,791,971 (30,021,778) 3,901,618 (5,084,293) .................................................................................................................................. Net increase (decrease) in net assets resulting from operations $(18,727,416) $32,321,175 $(23,622,655) $6,947,275 $(3,419,461) ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Operations (continued) ---------------------------------------------------------------------------------------------------------------------------------- Six months ended June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT Investors Money New Opportunities New Value OTC & Emerging Fund Market Fund Fund Fund Growth Fund ---------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $4,098,148 $-- $5,276,642 $5,085,463 $54,510 Interest 86,740 9,669,523 368,245 491,485 25,668 Securities lending 11,258 -- -- 20,038 -- Less foreign taxes withheld (3,934) -- (7,513) -- (101) .................................................................................................................................. Total investment income 4,192,212 9,669,523 5,637,374 5,596,986 80,077 .................................................................................................................................. Expenses Compensation of Manager (Note 2) 2,382,865 1,908,119 8,056,638 1,973,405 509,982 Investor servicing and custodian fees (Note 2) 206,271 335,886 600,316 168,984 78,412 Compensation of Trustees (Note 2) 11,674 17,773 11,764 10,584 6,932 Administrative services (Note 2) 6,991 6,467 21,204 6,715 4,294 Distribution fees-Class IB (Note 2) 304,293 184,221 228,012 126,701 64,864 Auditing 14,554 27,449 22,873 10,924 10,001 Other 55,547 122,866 135,758 29,349 24,075 .................................................................................................................................. Total expenses 2,982,195 2,602,781 9,076,565 2,326,662 698,560 .................................................................................................................................. Expense reduction (Note 2) (58,212) (1,848) (103,735) (61,299) (4,166) Net expenses 2,923,983 2,600,933 8,972,830 2,265,363 694,394 .................................................................................................................................. Net investment income (loss) 1,268,229 7,068,590 (3,335,456) 3,331,623 (614,317) .................................................................................................................................. Net realized gain (loss) on investments (Notes 1 and 3) (41,050,407) -- (306,318,531) 11,947,034 (21,200,838) Net realized gain (loss) on futures contracts (Note 1) (1,065,835) -- (473,206) (659,030) 19,779 Net realized gain (loss) on written options (Notes 1 and 3) 252,031 -- 290,512 -- -- Net unrealized appreciation (depreciation) of investments, written options and futures contracts during the period (86,987,206) -- (345,096,693) (57,201,158) (11,515,468) .................................................................................................................................. Net gain (loss) on investments (128,851,417) -- (651,597,918) (45,913,154) (32,696,527) .................................................................................................................................. Net increase (decrease) in net assets resulting from operations $(127,583,188) $7,068,590 $(654,933,374) $(42,581,531) $(33,310,844) ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Operations (continued) ---------------------------------------------------------------------------------------------------------------------------------- Six months ended June 30, 2002 (Unaudited) Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT Research Small Cap Value Technology Utilities Growth Vista Fund Fund Fund and Income Fund Fund ---------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $1,931,866 $2,736,226 $39,389 $8,822,052 $1,070,738 Interest 56,766 226,397 11,763 2,941,025 135,360 Securities lending 1,224 60,362 741 61,120 43,884 Less foreign taxes withheld (9,615) -- (384) (126,147) (267) .................................................................................................................................. Total investment income 1,980,241 3,022,985 51,509 11,698,050 1,249,715 .................................................................................................................................. Expenses Compensation of Manager (Note 2) 997,675 1,900,991 148,249 2,105,111 2,081,410 Investor servicing and custodian fees (Note 2) 133,400 204,762 21,416 213,745 213,520 Compensation of Trustees (Note 2) 7,873 7,516 5,062 6,422 11,164 Administrative services (Note 2) 4,572 4,131 3,517 7,005 6,474 Distribution fees-Class IB (Note 2) 151,413 225,091 19,122 69,896 341,968 Auditing 10,175 11,060 13,160 15,840 17,212 Other 25,497 28,688 7,024 37,771 45,484 .................................................................................................................................. Total expenses 1,330,605 2,382,239 217,550 2,455,790 2,717,232 .................................................................................................................................. Expense reduction (Note 2) (40,658) (10,457) (1,195) (94,974) (77,152) Net expenses 1,289,947 2,371,782 216,355 2,360,816 2,640,080 .................................................................................................................................. Net investment income (loss) 690,294 651,203 (164,846) 9,337,234 (1,390,365) .................................................................................................................................. Net realized gain (loss) on investments (Notes 1 and 3) (14,301,563) 12,037,772 (2,585,674) (59,790,551) (67,072,756) Net realized gain (loss) on futures contracts (Note 1) (531,387) -- -- (178,425) (1,679,332) Net realized gain (loss) on written options (Notes 1 and 3) 3,976 -- -- -- -- Net realized gain (loss) on foreign currency transactions (Note 1) -- -- -- 2,916 -- Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the period -- -- -- 6,062 -- Net unrealized appreciation (depreciation) of investments, written options and futures contracts during the period (33,557,049) (9,413,857) (7,169,459) (50,568,676) (67,489,364) .................................................................................................................................. Net gain (loss) on investments (48,386,023) 2,623,915 (9,755,133) (110,528,674) (136,241,452) .................................................................................................................................. Net increase (decrease) in net assets resulting from operations $(47,695,729) $3,275,118 $(9,919,979) $(101,191,440) $(137,631,817) ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Operations (continued) ---------------------------------------------------------------------------- Six months ended June 30, 2002 (Unaudited) Putnam VT Putnam VT Voyager Voyager Fund Fund II ---------------------------------------------------------------------------- Investment income Dividends $25,633,467 $30,092 Interest 314,966 5,116 Securities lending 44,750 -- Less foreign taxes withheld (9,135) (39) ............................................................................ Total investment income 25,984,048 35,169 ............................................................................ Expenses Compensation of Manager (Note 2) 12,889,233 79,094 Investor servicing and custodian fees (Note 2) 989,056 59,824 Compensation of Trustees (Note 2) 43,784 592 Administrative services (Note 2) 22,979 50 Distribution fees-Class IB (Note 2) 583,009 19,127 Auditing 30,083 11,215 Other 201,565 6,539 ............................................................................ Total expenses 14,759,709 176,441 ............................................................................ Expense reduction (Note 2) (547,023) (3,881) Net expenses 14,212,686 172,560 ............................................................................ Net investment income (loss) 11,771,362 (137,391) ............................................................................ Net realized gain (loss) on investments (Notes 1 and 3) (414,835,704) (2,604,658) Net realized gain (loss) on futures contracts (Note 1) (4,330,752) -- Net realized gain (loss) on written options (Notes 1 and 3) (651,431) 1,124 Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the period 1,384 -- Net unrealized appreciation (depreciation) of investments, written options and futures contracts during the period (426,485,389) (2,090,642) ............................................................................ Net gain (loss) on investments (846,301,892) (4,694,176) ............................................................................ Net increase (decrease) in net assets resulting from operations $(834,530,530) $(4,831,567) ---------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT American Government Income Fund Asia Pacific Growth Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $4,838,332 $5,165,828 $135,525 $352,522 Net realized gain (loss) on investments and foreign currency transactions 1,545,553 82,460 (4,700,795) (29,593,257) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 1,903,407 896,965 7,533,355 8,659,599 ................................................................................................................ Net increase (decrease) in net assets resulting from operations 8,287,292 6,145,253 2,968,085 (20,581,136) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (3,570,784) -- (567,821) -- Class IB (1,993,894) -- (28,084) -- From net realized short term gain on investments Class IA -- (10,809) -- (1,226,022) Class IB -- (6,516) -- (81,391) From net realized long term gain on investments Class IA -- -- -- (21,450,168) Class IB -- -- -- (1,423,996) Increase (decrease) from capital share transactions (Note 4) 69,095,650 178,017,371 (2,766,067) (456,487) ................................................................................................................ Total increase (decrease) in net assets 71,818,264 184,145,299 (393,887) (45,219,200) ................................................................................................................ Net assets: Beginning of period 209,827,339 25,682,040 67,072,857 112,292,057 ................................................................................................................ End of period $281,645,603 $209,827,339 $66,678,970 $67,072,857 ................................................................................................................ Undistributed net investment income (loss), end of period $4,783,690 $5,510,036 $(33,054) $427,326 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Capital Appreciation Fund Diversified Income Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $24,938 $1,206 $24,424,834 $53,476,061 Net realized gain (loss) on investments and foreign currency transactions (2,469,383) (1,835,502) (16,595,239) (38,323,009) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (1,925,278) 709,028 710,726 6,883,183 ................................................................................................................ Net increase (decrease) in net assets resulting from operations (4,369,723) (1,125,268) 8,540,321 22,036,235 ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA -- -- (41,802,270) (39,521,197) Class IB -- -- (8,226,156) (5,675,376) Increase (decrease) from capital share transactions (Note 4) 9,044,214 18,664,627 34,945,562 1,086,547 ................................................................................................................ Total increase (decrease) in net assets 4,674,491 17,539,359 (6,542,543) (22,073,791) ................................................................................................................ Net assets: Beginning of period 20,786,759 3,247,400 584,501,110 606,574,901 ................................................................................................................ End of period $25,461,250 $20,786,759 $577,958,567 $584,501,110 ................................................................................................................ Undistributed net investment income (loss), end of period $25,539 $601 $23,093,850 $48,697,442 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT The George Putnam Fund of Boston Global Asset Allocation Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $8,007,647 $13,320,056 $7,066,048 $17,937,966 Net realized gain (loss) on investments and foreign currency transactions (8,362,801) 2,430,170 (14,802,484) (47,405,708) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (22,482,967) (11,912,577) (20,141,951) (40,068,200) ................................................................................................................ Net increase (decrease) in net assets resulting from operations (22,838,121) 3,837,649 (27,878,387) (69,535,942) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (9,776,247) (8,953,349) (10,948,479) (8,320,785) Class IB (3,866,238) (2,828,500) (448,628) (216,063) From net realized long term gain on investments Class IA -- -- -- (17,431,812) Class IB -- -- -- (494,047) From return of capital Class IA -- -- -- (60,941,613) Class IB -- -- -- (1,727,187) Increase (decrease) from capital share transactions (Note 4) 84,009,620 152,481,788 (39,872,287) (39,483,526) ................................................................................................................ Total increase (decrease) in net assets 47,529,014 144,537,588 (79,147,781) (198,150,975) ................................................................................................................ Net assets: Beginning of period 544,338,216 399,800,628 635,967,789 834,118,764 ................................................................................................................ End of period $591,867,230 $544,338,216 $556,820,008 $635,967,789 ................................................................................................................ Undistributed net investment income (loss), end of period $7,982,644 $13,617,482 $7,705,701 $12,036,760 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Global Growth Fund Growth and Income Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $4,691,857 $2,769,625 $57,663,716 $119,591,530 Net realized gain (loss) on investments and foreign currency transactions (89,851,838) (755,678,134) 21,841,385 (45,690,102) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (69,207,493) 141,431,342 (768,159,945) (646,734,843) ................................................................................................................ Net increase (decrease) in net assets resulting from operations (154,367,474) (611,477,167) (688,654,844) (572,833,415) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (2,902,141) -- (108,775,493) (135,302,207) Class IB (50,413) -- (10,373,294) (8,853,040) From net realized long term gain on investments Class IA -- (380,084,619) (36,158,887) (94,450,091) Class IB -- (23,009,538) (3,898,039) (6,526,859) Increase (decrease) from capital share transactions (Note 4) (123,657,695) 124,647,953 (247,002,910) (444,891,182) ................................................................................................................ Total increase (decrease) in net assets (280,977,723) (889,923,371) (1,094,863,467) (1,262,856,794) ................................................................................................................ Net assets: Beginning of period 1,231,948,559 2,121,871,930 7,926,230,578 9,189,087,372 ................................................................................................................ End of period $950,970,836 $1,231,948,559 $6,831,367,111 $7,926,230,578 ................................................................................................................ Undistributed net investment income (loss), end of period $4,396,690 $2,657,387 $57,781,364 $119,266,435 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Growth Opportunities Fund Health Sciences Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $(60,281) $(283,763) $763,933 $195,561 Net realized gain (loss) on investments and foreign currency transactions (11,106,499) (56,664,931) (15,580,970) (13,847,673) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (10,061,387) 13,123,588 (55,180,375) (105,373,672) ................................................................................................................ Net increase (decrease) in net assets resulting from operations (21,228,167) (43,825,106) (69,997,412) (119,025,784) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA -- -- (201,698) (185,990) Class IB -- -- -- -- Increase (decrease) from capital share transactions (Note 4) (3,614,333) 25,898,333 (9,570,836) (15,919,904) ................................................................................................................ Total increase (decrease) in net assets (24,842,500) (17,926,773) (79,769,946) (135,131,678) ................................................................................................................ Net assets: Beginning of period 100,166,918 118,093,691 470,554,409 605,686,087 ................................................................................................................ End of period $75,324,418 $100,166,918 $390,784,463 $470,554,409 ................................................................................................................ Undistributed net investment income (loss), end of period $(60,281) $-- $742,107 $179,872 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT High Yield Fund Income Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $35,386,542 $81,627,830 $28,529,204 $52,678,931 Net realized gain (loss) on investments and foreign currency transactions (52,871,334) (88,393,137) 1,582,889 5,671,788 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (1,242,624) 36,170,954 2,209,082 7,430,451 ................................................................................................................ Net increase (decrease) in net assets resulting from operations (18,727,416) 29,405,647 32,321,175 65,781,170 ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (76,527,015) (97,385,674) (45,778,607) (56,276,353) Class IB (8,301,787) (6,365,166) (8,376,276) (4,975,666) Increase (decrease) from capital share transactions (Note 4) 32,887,603 39,250,196 57,570,203 157,639,949 ................................................................................................................ Total increase (decrease) in net assets (70,668,615) (35,094,997) 35,736,495 162,169,100 ................................................................................................................ Net assets: Beginning of period 712,477,299 747,572,296 1,024,290,637 862,121,537 ................................................................................................................ End of period $641,808,684 $712,477,299 $1,060,027,132 $1,024,290,637 ................................................................................................................ Undistributed net investment income (loss), end of period $25,890,719 $75,332,979 $28,094,527 $53,720,206 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT International International Growth Fund Growth and Income Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $6,399,123 $6,895,522 $3,045,657 $4,385,622 Net realized gain (loss) on investments and foreign currency transactions (33,715,698) (98,691,664) 2,328,871 (66,186,300) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 3,693,920 (94,305,831) 1,572,747 (26,429,813) ................................................................................................................ Net increase (decrease) in net assets resulting from operations (23,622,655) (186,101,973) 6,947,275 (88,230,491) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (4,719,741) (2,190,800) (1,800,180) (3,776,201) Class IB (2,098,858) (540,011) (225,636) (369,218) From net realized short term gain on investments Class IA -- (14,474,927) -- (6,024,627) Class IB -- (4,646,610) -- (648,458) From net realized long term gain on investments Class IA -- (54,104,929) -- (14,643,590) Class IB -- (17,368,274) -- (1,576,155) Increase (decrease) from capital share transactions (Note 4) 52,439,734 158,985,816 (1,714,466) (570,460) ................................................................................................................ Total increase (decrease) in net assets 21,998,480 (120,441,708) 3,206,993 (115,839,200) ................................................................................................................ Net assets: Beginning of period 773,838,631 894,280,339 315,068,057 430,907,257 ................................................................................................................ End of period $795,837,111 $773,838,631 $318,275,050 $315,068,057 ................................................................................................................ Undistributed net investment income (loss), end of period $6,061,249 $6,480,725 $2,988,062 $1,968,221 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT International Putnam VT New Opportunities Fund Investors Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $1,664,832 $869,535 $1,268,229 $2,277,156 Net realized gain (loss) on investments and foreign currency transactions (13,473,712) (121,943,110) (41,864,211) (247,784,739) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 8,389,419 (3,505,585) (86,987,206) (50,966,500) ................................................................................................................ Net increase (decrease) in net assets resulting from operations (3,419,461) (124,579,160) (127,583,188) (296,474,083) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (1,121,065) -- (1,991,678) (631,760) Class IB (943,705) -- (341,611) -- Increase (decrease) from capital share transactions (Note 4) (20,872,492) (15,569,524) (58,389,511) (29,367,942) ................................................................................................................ Total increase (decrease) in net assets (26,356,723) (140,148,684) (188,305,988) (326,473,785) ................................................................................................................ Net assets: Beginning of period 299,958,870 440,107,554 858,336,996 1,184,810,781 ................................................................................................................ End of period $273,602,147 $299,958,870 $670,031,008 $858,336,996 ................................................................................................................ Undistributed net investment income (loss), end of period $527,882 $927,820 $1,197,639 $2,262,699 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Money Market Fund New Opportunities Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $7,068,590 $35,641,834 $(3,335,456) $(8,758,169) Net realized gain (loss) on investments and foreign currency transactions -- -- (306,501,225) (903,936,483) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies -- -- (345,096,693) (646,948,159) ................................................................................................................ Net increase (decrease) in net assets resulting from operations 7,068,590 35,641,834 (654,933,374) (1,559,642,811) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (6,127,402) (30,910,790) -- -- Class IB (941,188) (4,731,044) -- -- From net realized long term gain on investments Class IA -- -- -- (712,524,348) Class IB -- -- -- (37,587,894) From return of capital Class IA -- -- -- (112,385) Class IB -- -- -- (5,929) Increase (decrease) from capital share transactions (Note 4) (96,071,051) 308,598,875 (261,463,017) 343,526,216 ................................................................................................................ Total increase (decrease) in net assets (96,071,051) 308,598,875 (916,396,391) (1,966,347,151) ................................................................................................................ Net assets: Beginning of period 1,047,823,154 739,224,279 3,258,128,107 5,224,475,258 ................................................................................................................ End of period $951,752,103 $1,047,823,154 $2,341,731,716 $3,258,128,107 ................................................................................................................ Undistributed net investment income (loss), end of period $-- $-- $(3,335,456) $-- ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT New Value Fund OTC & Emerging Growth Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $3,331,623 $5,745,376 $(614,317) $(1,362,805) Net realized gain (loss) on investments and foreign currency transactions 11,288,004 14,785,145 (21,181,059) (214,081,217) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (57,201,158) (9,398,584) (11,515,468) 78,180,430 ................................................................................................................ Net increase (decrease) in net assets resulting from operations (42,581,531) 11,131,937 (33,310,844) (137,263,592) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (4,569,403) (3,520,603) -- -- Class IB (843,594) (395,480) -- -- From net realized short term gain on investments Class IA (2,284,702) (6,711,941) -- -- Class IB (486,396) (806,170) -- -- From net realized long term gain on investments Class IA (11,102,222) (2,760,762) -- -- Class IB (2,363,583) (331,594) -- -- Increase (decrease) from capital share transactions (Note 4) 89,721,092 214,176,135 (9,350,996) 7,357,856 ................................................................................................................ Total increase (decrease) in net assets 25,489,661 210,781,522 (42,661,840) (129,905,736) ................................................................................................................ Net assets: Beginning of period 544,517,535 333,736,013 162,258,408 292,164,144 ................................................................................................................ End of period $570,007,196 $544,517,535 $119,596,568 $162,258,408 ................................................................................................................ Undistributed net investment income (loss), end of period $3,591,161 $5,672,535 $(614,317) $-- ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Research Fund Small Cap Value Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $690,294 $1,856,305 $651,203 $1,031,273 Net realized gain (loss) on investments and foreign currency transactions (14,828,974) (67,015,644) 12,037,772 2,999,444 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (33,557,049) (145,819) (9,413,857) 27,107,932 ................................................................................................................ Net increase (decrease) in net assets resulting from operations (47,695,729) (65,305,158) 3,275,118 31,138,649 ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA (1,275,993) (812,364) (763,670) (7,678) Class IB (612,834) (279,742) (311,197) (3,388) From net realized short term gain on investments Class IA -- (7,116,312) -- (314,807) Class IB -- (3,224,391) -- (138,904) From net realized long term gain on investments Class IA -- (3,086,985) (2,491,019) (199,633) Class IB -- (1,398,709) (1,522,640) (88,086) Increase (decrease) from capital share transactions (Note 4) 4,759,595 87,141,138 211,373,862 241,864,912 ................................................................................................................ Total increase (decrease) in net assets (44,824,961) 5,917,477 209,560,454 272,251,065 ................................................................................................................ Net assets: Beginning of period 317,330,809 311,413,332 362,319,982 90,068,917 ................................................................................................................ End of period $272,505,848 $317,330,809 $571,880,436 $362,319,982 ................................................................................................................ Undistributed net investment income (loss), end of period $641,926 $1,840,459 $598,341 $1,022,005 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Technology Fund Utilities Growth and Income Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $(164,846) $(342,713) $9,337,234 $20,352,039 Net realized gain (loss) on investments and foreign currency transactions (2,585,674) (21,260,179) (59,966,060) (41,568,311) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (7,169,459) 6,904,449 (50,562,614) (193,423,512) ................................................................................................................ Net increase (decrease) in net assets resulting from operations (9,919,979) (14,698,443) (101,191,440) (214,639,784) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA -- -- (18,633,404) (25,672,355) Class IB -- -- (1,746,082) (1,557,252) From net realized long term gain on investments Class IA -- -- -- (43,433,745) Class IB -- -- -- (2,699,025) Increase (decrease) from capital share transactions (Note 4) 689,241 16,441,190 (42,859,480) (27,437,500) ................................................................................................................ Total increase (decrease) in net assets (9,230,738) 1,742,747 (164,430,406) (315,439,661) ................................................................................................................ Net assets: Beginning of period 30,959,080 29,216,333 691,181,291 1,006,620,952 ................................................................................................................ End of period $21,728,342 $30,959,080 $526,750,885 $691,181,291 ................................................................................................................ Undistributed net investment income (loss), end of period $(164,846) $-- $9,184,916 $20,227,168 ---------------------------------------------------------------------------------------------------------------- * Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Vista Fund Voyager Fund Six months ended Year ended Six months ended Year ended June 30 December 31 June 30 December 31 2002* 2001 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $(1,390,365) $(2,014,475) $11,771,362 $36,455,059 Net realized gain (loss) on investments and foreign currency transactions (68,752,088) (371,461,553) (419,817,887) (610,106,376) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (67,489,364) (108,149) (426,484,005) (1,127,933,524) ................................................................................................................ Net increase (decrease) in net assets resulting from operations (137,631,817) (373,584,177) (834,530,530) (1,701,584,841) ................................................................................................................ Distributions to shareholders: (Note 1) From net investment income Class IA -- -- (33,891,280) (6,702,488) Class IB -- -- (2,654,199) -- From net realized short term gain on investments Class IA -- -- -- (71,730,881) Class IB -- -- -- (5,471,474) From net realized long term gain on investments Class IA -- (65,476,025) -- (1,296,574,895) Class IB -- (31,558,082) -- (98,899,881) From return of capital Class IA -- (31,184) -- -- Class IB -- (15,030) -- -- Increase (decrease) from capital share transactions (Note 4) (45,962,279) 143,110,436 (347,103,354) 636,084,907 ................................................................................................................ Total increase (decrease) in net assets (183,594,096) (327,554,062) (1,218,179,363) (2,544,879,553) ................................................................................................................ Net assets: Beginning of period 737,019,827 1,064,573,889 5,266,393,618 7,811,273,171 ................................................................................................................ End of period $553,425,731 $737,019,827 $4,048,214,255 $5,266,393,618 ................................................................................................................ Undistributed net investment income (loss), end of period $(1,390,365) $-- $11,439,334 $36,213,451 ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) ---------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II Six months ended Year ended June 30 December 31 2002* 2001 ---------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $(137,391) $(149,736) Net realized gain (loss) on investments and foreign currency transactions (2,603,534) (5,024,830) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (2,090,642) 2,033,703 ................................................................................................................ Net increase (decrease) in net assets resulting from operations (4,831,567) (3,140,863) ................................................................................................................ Increase (decrease) from capital share transactions (Note 4) 3,998,214 18,848,377 ................................................................................................................ Total increase (decrease) in net assets (833,353) 15,707,514 ................................................................................................................ Net assets: Beginning of period 20,802,502 5,094,988 ................................................................................................................ End of period $19,969,149 $20,802,502 ................................................................................................................ Undistributed net investment income (loss), end of period $(137,391) $-- ---------------------------------------------------------------------------------------------------------------- *Unaudited THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
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PUTNAM VARIABLE TRUST Financial Highlights CLASS IA -------------------------------------------------------------------------------------------------------------------------- Investment Operations: Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations -------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund June 30, 2002+ $11.62 $.25(a) $.17 $.42 December 31, 2001 10.88 .48(a)(b) .26 .74 December 31, 2000******* 10.00 .59(a)(b) .62 1.21 -------------------------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund June 30, 2002+ $5.22 $.01(a) $.23 $.24 December 31, 2001 9.31 .03(a) (1.96) (1.93) December 31, 2000 17.29 (.01)(a) (7.41) (7.42) December 31, 1999 8.33 (.01)(a) 8.97 8.96 December 31, 1998 9.20 .08(a) (.56) (.48) December 31, 1997 11.01 .07 (1.66) (1.59) -------------------------------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund June 30, 2002+ $7.82 $.01(a) $(1.23) $(1.22) December 31, 2001 9.06 .01(a) (1.25) (1.24) December 31, 2000********* 10.00 (.07)(a) (.87) (.94) -------------------------------------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund June 30, 2002+ $8.81 $.36(a) $(.23) $.13 December 31, 2001 9.15 .78(a) (.44) .34 December 31, 2000 9.92 .80(a) (.78) .02 December 31, 1999 10.49 .80(a) (.63) .17 December 31, 1998 11.31 .86(a) (.99) (.13) December 31, 1997 11.27 .82(a) (.05) .77 -------------------------------------------------------------------------------------------------------------------------- Putnam VT The George Putnam Fund of Boston June 30, 2002+ $10.73 $.15(a) $(.53) $(.38) December 31, 2001 10.96 .31(a) (.24) .07 December 31, 2000 9.98 .19(a) .79 .98 December 31, 1999 10.28 .32(a) (.36) (.04) December 31, 1998**** 10.00 .18(a)(b) .19 .37 -------------------------------------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund June 30, 2002+ $13.37 $.15(a) $(.76) $(.61) December 31, 2001 16.66 .36(a) (1.78) (1.42) December 31, 2000 19.60 .48(a) (1.32) (.84) December 31, 1999 18.94 .41(a) 1.69 2.10 December 31, 1998 18.76 .46(a) 2.00 2.46 December 31, 1997 17.25 .50 2.63 3.13 -------------------------------------------------------------------------------------------------------------------------- Putnam VT Global Growth Fund June 30, 2002+ $9.34 $.04(a) $(1.27) $(1.23) December 31, 2001 18.10 .02(a) (5.17) (5.15) December 31, 2000 30.49 (.08)(a) (7.36) (7.44) December 31, 1999 20.28 (.02)(a) 12.09 12.07 December 31, 1998 18.34 .05(a) 5.01 5.06 December 31, 1997 16.88 .13 2.18 2.31 -------------------------------------------------------------------------------------------------------------------------- Putnam VT Growth and Income Fund June 30, 2002+ $23.56 $.18(a) $(2.25) $(2.07) December 31, 2001 25.85 .35(a) (1.94) (1.59) December 31, 2000 26.80 .40(a) 1.49 1.89 December 31, 1999 28.77 .47(a) 0.01 .48 December 31, 1998 28.32 .44(a) 3.77 4.21 December 31, 1997 24.56 .48 5.07 5.55 -------------------------------------------------------------------------------------------------------------------------- Putnam VT Growth Opportunities Fund June 30, 2002+ $5.31 $--(a)(e) $(1.13) $(1.13) December 31, 2001 7.80 (.01)(a) (2.48) (2.49) December 31, 2000******* 10.00 (.02)(a) (2.18) (2.20) -------------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IA ---------------------------------------------------------------------------------------------------- Less Distributions: From From Net Net Realized From Investment Gain on Return Period ended Income Investments of Capital ---------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund June 30, 2002+ $(.30) $-- $-- December 31, 2001 -- --(e) -- December 31, 2000******* (.22) (.11) -- ---------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund June 30, 2002+ $(.05) $-- $-- December 31, 2001 -- (2.16) -- December 31, 2000 (.55) (.01) -- December 31, 1999 -- -- -- December 31, 1998 (.38) -- (.01) December 31, 1997 (.22) -- -- ---------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000********* -- -- -- ---------------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund June 30, 2002+ $(.77) $-- $-- December 31, 2001 (.68) -- -- December 31, 2000 (.79) -- -- December 31, 1999 (.74) -- -- December 31, 1998 (.48) (.21) -- December 31, 1997 (.63) (.10) -- ---------------------------------------------------------------------------------------------------- Putnam VT The George Putnam Fund of Boston June 30, 2002+ $(.26) $-- $-- December 31, 2001 (.30) -- -- December 31, 2000 -- -- -- December 31, 1999 (.23) (.02) (.01) December 31, 1998**** (.09) -- -- ---------------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund June 30, 2002+ $(.25) $-- $-- December 31, 2001 (.18) (1.69) -- December 31, 2000 (.34) (1.76) -- December 31, 1999 (.38) (1.06) -- December 31, 1998 (.43) (1.85) -- December 31, 1997 (.60) (1.02) -- ---------------------------------------------------------------------------------------------------- Putnam VT Global Growth Fund June 30, 2002+ $(.03) $-- $-- December 31, 2001 -- (3.61) -- December 31, 2000 (.18) (4.77) -- December 31, 1999 (.09) (1.77) -- December 31, 1998 (.52) (2.60) -- December 31, 1997 (.41) (.44) -- ---------------------------------------------------------------------------------------------------- Putnam VT Growth and Income Fund June 30, 2002+ $(.36) $(.12) $-- December 31, 2001 (.41) (.29) -- December 31, 2000 (.50) (2.34) -- December 31, 1999 (.41) (2.04) -- December 31, 1998 (.50) (3.26) -- December 31, 1997 (.52) (1.27) -- ---------------------------------------------------------------------------------------------------- Putnam VT Growth Opportunities Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000******* -- -- -- ---------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA ------------------------------------------------------------------------------------------------------------------------- Total Investment Return at Net Assets, Total Net Asset Value, Net Asset End of Period Period ended Distributions End of Period Value(%)(c) (in thousands) ------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund June 30, 2002+ $(.30) $11.74 3.68* $173,504 December 31, 2001 --(e) 11.62 6.82 136,461 December 31, 2000******* (.33) 10.88 12.11* 17,992 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund June 30, 2002+ $(.05) $5.41 4.59* $62,128 December 31, 2001 (2.16) 5.22 (23.84) 62,755 December 31, 2000 (.56) 9.31 (44.21) 105.373 December 31, 1999 -- 17.29 107.56 250,986 December 31, 1998 (.39) 8.33 (5.48) 90,667 December 31, 1997 (.22) 9.20 (14.66) 112,902 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund June 30, 2002+ $-- $6.60 (15.60)* $12,782 December 31, 2001 -- 7.82 (13.69) 11,003 December 31, 2000********* -- 9.06 (9.40)* 2,258 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund June 30, 2002+ $(.77) $8.17 1.48* $479,330 December 31, 2001 (.68) 8.81 3.82 491,673 December 31, 2000 (.79) 9.15 0.19 537,743 December 31, 1999 (.74) 9.92 1.66 623,737 December 31, 1998 (.69) 10.49 (1.37) 669,053 December 31, 1997 (.73) 11.31 7.38 608,148 ------------------------------------------------------------------------------------------------------------------------- Putnam VT The George Putnam Fund of Boston June 30, 2002+ $(.26) $10.09 (3.70)* $414,610 December 31, 2001 (.30) 10.73 0.74 387,517 December 31, 2000 -- 10.96 9.82 305,564 December 31, 1999 (.26) 9.98 (0.36) 276,553 December 31, 1998**** (.09) 10.28 3.69* 113,202 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund June 30, 2002+ $(.25) $12.51 (4.68)* $531,777 December 31, 2001 (1.87) 13.37 (8.42) 611,233 December 31, 2000 (2.10) 16.66 (4.87) 815,135 December 31, 1999 (1.44) 19.60 11.85 1,001,087 December 31, 1998 (2.28) 18.94 13.47 1,020,354 December 31, 1997 (1.62) 18.76 19.67 956,532 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Global Growth Fund June 30, 2002+ $(.03) $8.08 (13.25)* $871,257 December 31, 2001 (3.61) 9.34 (29.66) 1,139,131 December 31, 2000 (4.95) 18.10 (29.64) 2,018,743 December 31, 1999 (1.86) 30.49 65.00 3,090,073 December 31, 1998 (3.12) 20.28 29.71 1,987,094 December 31, 1997 (.85) 18.34 14.33 1,611,503 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Growth and Income Fund June 30, 2002+ $(.48) $21.01 (9.00)* $6,128,514 December 31, 2001 (.70) 23.56 (6.16) 7,216,388 December 31, 2000 (2.84) 25.85 8.11 8,675,872 December 31, 1999 (2.45) 26.80 1.59 9,567,077 December 31, 1998 (3.76) 28.77 15.42 9,948,386 December 31, 1997 (1.79) 28.32 24.15 8,337,334 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Growth Opportunities Fund June 30, 2002+ $-- $4.18 (21.28)* $40,215 December 31, 2001 -- 5.31 (31.92) 55,646 December 31, 2000******* -- 7.80 (22.00)* 77,022 ------------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IA ------------------------------------------------------------------------------------------------------------------------ Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) ------------------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund June 30, 2002+ .38* 2.14* 123.95(f)* December 31, 2001 .77(b) 4.23(b) 262.05(f) December 31, 2000******* .82(b)* 5.20(b)* 336.72* ------------------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund June 30, 2002+ .58* .21* 23.50* December 31, 2001 1.13 .41 100.86 December 31, 2000 1.07 (.10) 149.46 December 31, 1999 1.13 (.09) 145.51 December 31, 1998 1.12 1.01 136.49 December 31, 1997 1.07 .70 102.92 ------------------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund June 30, 2002+ .55* .16* 101.83* December 31, 2001 1.35 .13 101.98 December 31, 2000********* 1.18* (.72)* 89.87* ------------------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund June 30, 2002+ .40* 4.17* 91.92(f)* December 31, 2001 .79 8.83 139.13(f) December 31, 2000 .78 8.62 169.27 December 31, 1999 .78 7.86 117.02 December 31, 1998 .78 7.94 186.80 December 31, 1997 .80 7.43 282.56 ------------------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston June 30, 2002+ .38* 1.41* 87.37(f)* December 31, 2001 .76 2.92 334.64(f) December 31, 2000 .76 3.44 154.53 December 31, 1999 .83 3.04 173.41 December 31, 1998**** .57(b)* 1.84(b)* 99.85* ------------------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund June 30, 2002+ .44* 1.17* 50.84* December 31, 2001 .84 2.54 187.96(f) December 31, 2000 .79 2.73 159.03 December 31, 1999 .77 2.22 149.82 December 31, 1998 .78 2.54 133.80 December 31, 1997 .77 3.01 181.05 ------------------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund June 30, 2002+ .43* .43* 120.85* December 31, 2001 .82 .20 186.11 December 31, 2000 .76 (.32) 170.41 December 31, 1999 .73 (.09) 154.88 December 31, 1998 .72 .26 164.56 December 31, 1997 .75 .77 158.37 ------------------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund June 30, 2002+ .26* .77* 22.93* December 31, 2001 .51 1.42 32.75 December 31, 2000 .50 1.63 55.04 December 31, 1999 .50 1.66 53.68 December 31, 1998 .50 1.59 63.62 December 31, 1997 .51 2.08 64.96 ------------------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund June 30, 2002+ .43* (.01)* 25.50* December 31, 2001 .85 (.19) 83.13 December 31, 2000******* .80* (.23)* 57.60* ------------------------------------------------------------------------------------------------------------------------ See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA ---------------------------------------------------------------------------------------------------------------------- Investment Operations: Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations ---------------------------------------------------------------------------------------------------------------------- Putnam VT Health Sciences Fund June 30, 2002+ $11.75 $.02(a) $(1.76) $(1.74) December 31, 2001 14.61 .01(a) (2.86) (2.85) December 31, 2000 10.50 .01(a) 4.10 4.11 December 31, 1999 10.94 .01(a) (.44) (.43) December 31, 1998**** 10.00 .01(a)(b) .94 .95 ---------------------------------------------------------------------------------------------------------------------- Putnam VT High Yield Fund June 30, 2002+ $8.08 $.38(a) $(.57) $(.19) December 31, 2001 8.98 .91(a) (.55) .36 December 31, 2000 11.09 1.14(a) (1.97) (.83) December 31, 1999 11.70 1.13(a) (.48) .65 December 31, 1998 13.62 1.31(a) (1.98) (.67) December 31, 1997 12.96 1.06 .65 1.71 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Income Fund June 30, 2002+ $12.65 $.34(a) $.04 $.38 December 31, 2001 12.61 .70(a) .21 .91 December 31, 2000 12.52 .84(a) .11 .95 December 31, 1999 13.73 .78(a) (1.05) (.27) December 31, 1998 13.42 .82(a) .24 1.06 December 31, 1997 13.21 .88 .18 1.06 ---------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth Fund June 30, 2002+ $12.42 $.10(a) $(.53) $(.43) December 31, 2001 17.72 .13(a) (3.62) (3.49) December 31, 2000 21.66 .31(a) (2.05) (1.74) December 31, 1999 13.52 .08(a) 8.06 8.14 December 31, 1998 11.43 .11(a) 2.03 2.14 December 31, 1997** 10.00 .05(b) 1.56 1.61 ---------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth and Income Fund June 30, 2002+ $9.76 $.10(a) $.13 $.23 December 31, 2001 13.28 .13(a) (2.80) (2.67) December 31, 2000 15.25 .16(a) .05 .21 December 31, 1999 12.24 .21(a) 2.80 3.01 December 31, 1998 11.53 .23(a) 1.06 1.29 December 31, 1997** 10.00 .07 1.87 1.94 ---------------------------------------------------------------------------------------------------------------------- Putnam VT International New Opportunities Fund June 30, 2002+ $9.80 $.06(a) $(.18) $(.12) December 31, 2001 13.71 .04(a) (3.95) (3.91) December 31, 2000 23.31 (.11)(a) (8.45) (8.56) December 31, 1999 11.49 (.05)(a) 11.88 11.83 December 31, 1998 9.96 (.04)(a)(b) 1.59 1.55 December 31, 1997** 10.00 .01(b) (.02) (.01) ---------------------------------------------------------------------------------------------------------------------- Putnam VT Investors Fund June 30, 2002+ $9.31 $.02(a) $(1.45) $(1.43) December 31, 2001 12.36 .03(a) (3.07) (3.04) December 31, 2000 15.16 .01(a) (2.81) (2.80) December 31, 1999 11.65 .01(a) 3.50 3.51 December 31, 1998**** 10.00 .02(a)(b) 1.65 1.67 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Money Market Fund June 30, 2002+ $1.00 $.0076 $-- $.0076 December 31, 2001 1.00 .0392 -- .0392 December 31, 2000 1.00 .0588 -- .0588 December 31, 1999 1.00 .0476 -- .0476 December 31, 1998 1.00 .0510 -- .0510 December 31, 1997 1.00 .0509 -- .0509 ---------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IA --------------------------------------------------------------------------------------------------- Less Distributions: From From Net Net Realized From Investment Gain on Return Period ended Income Investments of Capital --------------------------------------------------------------------------------------------------- Putnam VT Health Sciences Fund June 30, 2002+ $(.01) $-- $-- December 31, 2001 (.01) -- -- December 31, 2000 -- -- -- December 31, 1999 (.01) -- -- December 31, 1998**** (.01) -- --(e) --------------------------------------------------------------------------------------------------- Putnam VT High Yield Fund June 30, 2002+ $(.98) $-- $-- December 31, 2001 (1.26) -- -- December 31, 2000 (1.28) -- -- December 31, 1999 (1.26) -- -- December 31, 1998 (1.08) (.17) -- December 31, 1997 (.94) (.11) -- --------------------------------------------------------------------------------------------------- Putnam VT Income Fund June 30, 2002+ $(.67) $-- $-- December 31, 2001 (.87) -- -- December 31, 2000 (.86) -- -- December 31, 1999 (.73) (.21) -- December 31, 1998 (.75) -- -- December 31, 1997 (.85) -- -- --------------------------------------------------------------------------------------------------- Putnam VT International Growth Fund June 30, 2002+ $(.12) $-- $-- December 31, 2001 (.06) (1.75) -- December 31, 2000 (.41) (1.79) -- December 31, 1999 -- -- -- December 31, 1998 (.04) -- (.01) December 31, 1997** (.07) (.10) (.01) --------------------------------------------------------------------------------------------------- Putnam VT International Growth and Income Fund June 30, 2002+ $(.07) $-- $-- December 31, 2001 (.13) (.72) -- December 31, 2000 (.68) (1.50) -- December 31, 1999 -- -- -- December 31, 1998 (.11) (.41) (.06) December 31, 1997** (.13) (.28) -- --------------------------------------------------------------------------------------------------- Putnam VT International New Opportunities Fund June 30, 2002+ $(.08) $-- $-- December 31, 2001 -- -- -- December 31, 2000 (.01) (1.03) --(e) December 31, 1999 (.01) -- -- December 31, 1998 (.02) -- -- December 31, 1997** (.03) -- -- --------------------------------------------------------------------------------------------------- Putnam VT Investors Fund June 30, 2002+ $(.03) $-- $-- December 31, 2001 (.01) -- -- December 31, 2000 -- -- -- December 31, 1999 -- -- -- December 31, 1998**** (.01) -- (.01) --------------------------------------------------------------------------------------------------- Putnam VT Money Market Fund June 30, 2002+ $(.0076) $-- $-- December 31, 2001 (.0392) -- -- December 31, 2000 (.0588) -- -- December 31, 1999 (.0476) -- -- December 31, 1998 (.0510) -- -- December 31, 1997 (.0509) -- -- --------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA ------------------------------------------------------------------------------------------------------------------------- Total Investment Return at Net Assets, Total Net Asset Value, Net Asset End of Period Period ended Distributions End of Period Value(%)(c) (in thousands) ------------------------------------------------------------------------------------------------------------------------- Putnam VT Health Sciences Fund June 30, 2002+ $(.01) $10.00 (14.84)* $268,107 December 31, 2001 (.01) 11.75 (19.53) 342,488 December 31, 2000 -- 14.61 39.14 497,695 December 31, 1999 (.01) 10.50 (3.93) 218,848 December 31, 1998**** (.01) 10.94 9.51* 134,436 ------------------------------------------------------------------------------------------------------------------------- Putnam VT High Yield Fund June 30, 2002+ $(.98) $6.91 (2.91)* $573,955 December 31, 2001 (1.26) 8.08 4.00 647,505 December 31, 2000 (1.28) 8.98 (8.45) 709,534 December 31, 1999 (1.26) 11.09 5.92 964,590 December 31, 1998 (1.25) 11.70 (5.86) 1,032,892 December 31, 1997 (1.05) 13.62 14.34 1,025,298 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Income Fund June 30, 2002+ $(.67) $12.36 3.17* $875,188 December 31, 2001 (.87) 12.65 7.53 879,911 December 31, 2000 (.86) 12.61 8.01 806,452 December 31, 1999 (.94) 12.52 (2.07) 935,800 December 31, 1998 (.75) 13.73 8.25 1,000,161 December 31, 1997 (.85) 13.42 8.64 789,540 ------------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth Fund June 30, 2002+ $(.12) $11.87 (3.54)* $479,914 December 31, 2001 (1.81) 12.42 (20.41) 521,192 December 31, 2000 (2.20) 17.72 (9.48) 696,527 December 31, 1999 -- 21.66 60.21 627,368 December 31, 1998 (.05) 13.52 18.69 317,602 December 31, 1997** (.18) 11.43 16.13 150,884 ------------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth and Income Fund June 30, 2002+ $(.07) $9.92 2.32* $266,773 December 31, 2001 (.85) 9.76 (20.67) 273,298 December 31, 2000 (2.18) 13.28 1.36 393,973 December 31, 1999 -- 15.25 24.59 387,504 December 31, 1998 (.58) 12.24 11.28 305,047 December 31, 1997** (.41) 11.53 19.43 206,598 ------------------------------------------------------------------------------------------------------------------------- Putnam VT International New Opportunities Fund June 30, 2002+ $(.08) $9.60 (1.22)* $123,091 December 31, 2001 -- 9.80 (28.52) 140,731 December 31, 2000 (1.04) 13.71 (38.56) 255,447 December 31, 1999 (.01) 23.31 102.96 330,982 December 31, 1998 (.02) 11.49 15.58 135,451 December 31, 1997** (.03) 9.96 (.10) 107,000 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Investors Fund June 30, 2002+ $(.03) $7.85 (15.38)* $451,978 December 31, 2001 (.01) 9.31 (24.61) 597,312 December 31, 2000 -- 12.36 (18.47) 905,213 December 31, 1999 -- 15.16 30.13 867,151 December 31, 1998**** (.02) 11.65 16.66* 243,296 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Money Market Fund June 30, 2002+ $(.0076) $1.00 0.76* $801,675 December 31, 2001 (.0392) 1.00 3.99 893,647 December 31, 2000 (.0588) 1.00 6.03 637,405 December 31, 1999 (.0476) 1.00 4.86 823,013 December 31, 1998 (.0510) 1.00 5.19 595,158 December 31, 1997 (.0509) 1.00 5.22 405,577 ------------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IA ------------------------------------------------------------------------------------------------------------------------ Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) ------------------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund June 30, 2002+ .40* .21* 44.06* December 31, 2001 .79 .09 53.20 December 31, 2000 .79 .06 49.10 December 31, 1999 .83 .14 82.45 December 31, 1998**** .61(b)* .14(b)* 39.68* ------------------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund June 30, 2002+ .38* 5.05* 38.38* December 31, 2001 .76 10.99 81.97 December 31, 2000 .74 11.46 69.05 December 31, 1999 .72 10.18 52.96 December 31, 1998 .71 10.31 52.00 December 31, 1997 .72 9.26 84.61 ------------------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund June 30, 2002+ .34* 2.77* 137.42(f)* December 31, 2001 .68 5.60 250.79(f) December 31, 2000 .67 6.94 238.00 December 31, 1999 .67 6.07 220.90 December 31, 1998 .67 6.13 233.04 December 31, 1997 .69 6.58 194.29 ------------------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund June 30, 2002+ .48* .84* 26.37* December 31, 2001 .94 .93 69.81 December 31, 2000 .94 1.62 78.84 December 31, 1999 1.02 .51 107.38 December 31, 1998 1.07 .84 98.31 December 31, 1997** 1.20(b) .79(b) 75.18 ------------------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund June 30, 2002+ .50* .97* 62.53* December 31, 2001 .98 1.26 154.29 December 31, 2000 .97 1.15 82.02 December 31, 1999 .98 1.50 92.27 December 31, 1998 .99 1.86 62.61 December 31, 1997** 1.12 1.11 53.20 ------------------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund June 30, 2002+ .61* .64* 63.67* December 31, 2001 1.24 .35 198.97 December 31, 2000 1.21 (.57) 189.71 December 31, 1999 1.41 (.36) 196.53 December 31, 1998 1.60(b) (.36)(b) 157.72 December 31, 1997** 1.60(b) .09(b) 131.89 ------------------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund June 30, 2002+ .34* .20* 73.23* December 31, 2001 .66 .23 98.05 December 31, 2000 .65 .08 76.32 December 31, 1999 .71 .05 65.59 December 31, 1998**** .57(b)* .19(b)* 42.97* ------------------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund June 30, 2002+ .25* .76* -- December 31, 2001 .45 3.75 -- December 31, 2000 .50 5.87 -- December 31, 1999 .49 4.77 -- December 31, 1998 .53 5.04 -- December 31, 1997 .54 5.10 -- ------------------------------------------------------------------------------------------------------------------------ See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA ----------------------------------------------------------------------------------------------------------------------- Investment Operations: Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations ----------------------------------------------------------------------------------------------------------------------- Putnam VT New Opportunities Fund June 30, 2002+ $16.67 $(.02)(a) $(3.50) $(3.52) December 31, 2001 29.89 (.04)(a) (8.76) (8.80) December 31, 2000 43.54 (.13)(a) (10.03) (10.16) December 31, 1999 26.06 (.08)(a) 17.93 17.85 December 31, 1998 21.23 (.04) 5.19 5.15 December 31, 1997 17.22 --(e) 4.01 4.01 ----------------------------------------------------------------------------------------------------------------------- Putnam VT New Value Fund June 30, 2002+ $13.47 $.08(a) $(.93) $(.85) December 31, 2001 13.52 .18(a) .28 .46 December 31, 2000 11.86 .21(a) 2.27 2.48 December 31, 1999 12.03 .18(a) (.14) .04 December 31, 1998 11.76 .16(a) .57 .73 December 31, 1997** 10.00 .18(a) 1.58 1.76 ----------------------------------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund June 30, 2002+ $6.02 $(.02)(a) $(1.25) $(1.27) December 31, 2001 11.06 (.05)(a) (4.99) (5.04) December 31, 2000 22.79 (.08)(a) (11.42) (11.50) December 31, 1999 10.09 (.08)(a)(b) 12.84 12.76 December 31, 1998**** 10.00 (.01)(a)(b) .10 .09 ----------------------------------------------------------------------------------------------------------------------- Putnam VT Research Fund June 30, 2002+ $10.99 $.03(a) $(1.63) $(1.60) December 31, 2001 14.32 .08(a) (2.73) (2.65) December 31, 2000 14.69 .07(a) (.34) (.27) December 31, 1999 11.93 .05(a)(b) 3.20 3.25 December 31, 1998***** 10.00 .02(a)(b) 1.93 1.95 ----------------------------------------------------------------------------------------------------------------------- Putnam VT Small Cap Value Fund June 30, 2002+ $15.09 $.03(a) $.45 $.48 December 31, 2001 12.81 .08(a) 2.27 2.35 December 31, 2000 10.31 .07(a) 2.47 2.54 December 31, 1999****** 10.00 (.02)(a) .37 .35 ----------------------------------------------------------------------------------------------------------------------- Putnam VT Technology Fund June 30, 2002+ $4.25 $(.02)(a) $(1.21) $(1.23) December 31, 2001 6.98 (.05)(a) (2.68) (2.73) December 31, 2000******** 10.00 (.07)(a) (2.95) (3.02) ----------------------------------------------------------------------------------------------------------------------- Putnam VT Utilities Growth and Income Fund June 30, 2002+ $12.97 $.18(a) $(2.13) $(1.95) December 31, 2001 18.13 .36(a) (4.17) (3.81) December 31, 2000 16.97 .49(a) 2.25 2.74 December 31, 1999 18.19 .52(a) (.72) (.20) December 31, 1998 17.14 .54(a) 1.90 2.44 December 31, 1997 14.80 .53 3.11 3.64 ----------------------------------------------------------------------------------------------------------------------- Putnam VT Vista Fund June 30, 2002+ $11.40 $(.02)(a) $(2.18) $(2.20) December 31, 2001 19.65 (.02)(a) (6.47) (6.49) December 31, 2000 20.68 (.05)(a) (.73) (.78) December 31, 1999 14.72 (.05)(a) 7.64 7.59 December 31, 1998 12.32 (.02)(a) 2.42 2.40 December 31, 1997** 10.00 --(e) 2.32 2.32 ----------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IA ---------------------------------------------------------------------------------------------------- Less Distributions: From From Net Net Realized From Investment Gain on Return Period ended Income Investments of Capital ---------------------------------------------------------------------------------------------------- Putnam VT New Opportunities Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- (4.42) --(e) December 31, 2000 -- (3.49) -- December 31, 1999 -- (.37) -- December 31, 1998 -- (.32) -- December 31, 1997 -- -- -- ---------------------------------------------------------------------------------------------------- Putnam VT New Value Fund June 30, 2002+ $(.13) $(.38) $-- December 31, 2001 (.14) (.37) -- December 31, 2000 (.18) (.64) -- December 31, 1999 --(e) (.21) -- December 31, 1998 (.23) (.23) -- December 31, 1997** -- -- -- ---------------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000 -- (.23) --(e) December 31, 1999 -- (.06) -- December 31, 1998**** -- -- --(e) ---------------------------------------------------------------------------------------------------- Putnam VT Research Fund June 30, 2002+ $(.07) $-- $-- December 31, 2001 (.05) (.63) -- December 31, 2000 -- (.10) -- December 31, 1999 (.03) (.46) -- December 31, 1998***** (.01) (.01) -- ---------------------------------------------------------------------------------------------------- Putnam VT Small Cap Value Fund June 30, 2002+ $(.04) $(.14) $-- December 31, 2001 --(e) (.07) -- December 31, 2000 (.04) -- -- December 31, 1999****** -- (.03) (.01) ---------------------------------------------------------------------------------------------------- Putnam VT Technology Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000******** -- -- -- ---------------------------------------------------------------------------------------------------- Putnam VT Utilities Growth and Income Fund June 30, 2002+ $(.40) $-- $-- December 31, 2001 (.50) (.85) -- December 31, 2000 (.57) (1.01) -- December 31, 1999 (.50) (.52) -- December 31, 1998 (.51) (.88) -- December 31, 1997 (.55) (.75) -- ---------------------------------------------------------------------------------------------------- Putnam VT Vista Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- (1.76) --(e) December 31, 2000 -- (.25) -- December 31, 1999 -- (1.63) -- December 31, 1998 -- -- -- December 31, 1997** --(e) -- --(e) ---------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA ------------------------------------------------------------------------------------------------------------------------- Total Investment Return at Net Assets, Total Net Asset Value, Net Asset End of Period Period ended Distributions End of Period Value(%)(c) (in thousands) ------------------------------------------------------------------------------------------------------------------------- Putnam VT New Opportunities Fund June 30, 2002+ $-- $13.15 (21.12)* $2,188,154 December 31, 2001 (4.42) 16.67 (29.99) 3,058,087 December 31, 2000 (3.49) 29.89 (26.09) 4,992,696 December 31, 1999 (.37) 43.54 69.35 6,432,227 December 31, 1998 (.32) 26.06 24.38 3,586,225 December 31, 1997 -- 21.23 23.29 2,590,244 ------------------------------------------------------------------------------------------------------------------------- Putnam VT New Value Fund June 30, 2002+ $(.51) $12.11 (6.73)* $463,202 December 31, 2001 (.51) 13.47 3.53 455,975 December 31, 2000 (.82) 13.52 22.59 302,930 December 31, 1999 (.21) 11.86 .27 249,092 December 31, 1998 (.46) 12.03 6.26 255,754 December 31, 1997** -- 11.76 17.60 195,391 ------------------------------------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund June 30, 2002+ $-- $4.75 (21.10)* $75,395 December 31, 2001 -- 6.02 (45.57) 107,050 December 31, 2000 (.23) 11.06 (51.03) 217,797 December 31, 1999 (.06) 22.79 126.52 207,003 December 31, 1998**** --(e) 10.09 .94* 28,059 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Research Fund June 30, 2002+ $(.07) $9.32 (14.64)* $159,406 December 31, 2001 (.68) 10.99 (18.62) 197,443 December 31, 2000 (.10) 14.32 (1.84) 222,579 December 31, 1999 (.49) 14.69 27.58 134,115 December 31, 1998***** (.02) 11.93 19.51* 22,626 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Small Cap Value Fund June 30, 2002+ $(.18) $15.39 3.11* $343,342 December 31, 2001 (.07) 15.09 18.42 231,329 December 31, 2000 (.04) 12.81 24.62 59,483 December 31, 1999****** (.04) 10.31 3.47* 12,298 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Technology Fund June 30, 2002+ $-- $3.02 (28.94)* $9,471 December 31, 2001 -- 4.25 (39.11) 15,526 December 31, 2000******** -- 6.98 (30.20)* 16,743 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Utilities Growth and Income Fund June 30, 2002+ $(.40) $10.62 (15.48)* $477,335 December 31, 2001 (1.35) 12.97 (22.11) 631,897 December 31, 2000 (1.58) 18.13 17.61 958,078 December 31, 1999 (1.02) 16.97 (.66) 945,581 December 31, 1998 (1.39) 18.19 14.92 1,015,327 December 31, 1997 (1.30) 17.14 27.10 822,257 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Vista Fund June 30, 2002+ $-- $9.20 (19.30)* $319,444 December 31, 2001 (1.76) 11.40 (33.34) 443,879 December 31, 2000 (.25) 19.65 (3.98) 767,550 December 31, 1999 (1.63) 20.68 52.90 542,491 December 31, 1998 -- 14.72 19.48 311,612 December 31, 1997** --(e) 12.32 23.21 170,660 ------------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IA -------------------------------------------------------------------------------------------------------------------- Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) -------------------------------------------------------------------------------------------------------------------- Putnam VT New Opportunities Fund June 30, 2002+ .31* (.11)* 44.28* December 31, 2001 .59 (.21) 72.16 December 31, 2000 .57 (.31) 53.64 December 31, 1999 .59 (.28) 71.14 December 31, 1998 .61 (.16) 59.75 December 31, 1997 .63 (.01) 71.78 -------------------------------------------------------------------------------------------------------------------- Putnam VT New Value Fund June 30, 2002+ .38* .59* 23.53* December 31, 2001 .79 1.32 74.80 December 31, 2000 .79 1.75 83.62 December 31, 1999 .80 1.40 98.21 December 31, 1998 .81 1.34 130.96 December 31, 1997** .85 1.59 64.15 -------------------------------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund June 30, 2002+ .43* (.37)* 34.89* December 31, 2001 .85 (.63) 116.66 December 31, 2000 .81 (.42) 88.63 December 31, 1999 .90(b) (.55)(b) 127.98 December 31, 1998**** .60(b)* (.16)(b)* 59.93* -------------------------------------------------------------------------------------------------------------------- Putnam VT Research Fund June 30, 2002+ .38* .27* 78.67* December 31, 2001 .74 .67 146.42 December 31, 2000 .78 .47 161.52 December 31, 1999 .85(b) .34(b) 169.16 December 31, 1998***** .22(b)* .19(b)* 19.76* -------------------------------------------------------------------------------------------------------------------- Putnam VT Small Cap Value Fund June 30, 2002+ .44* .18* 19.35* December 31, 2001 .94 .56 36.65 December 31, 2000 1.10 .59 34.05 December 31, 1999****** 1.29* (.24)* 48.24* -------------------------------------------------------------------------------------------------------------------- Putnam VT Technology Fund June 30, 2002+ .66* (.49)* 52.82* December 31, 2001 1.45 (1.12) 280.37 December 31, 2000******** 1.04* (.78)* 150.70* -------------------------------------------------------------------------------------------------------------------- Putnam VT Utilities Growth and Income Fund June 30, 2002+ .38* 1.51* 25.00* December 31, 2001 .73 2.45 93.13 December 31, 2000 .72 2.94 28.88 December 31, 1999 .71 3.02 26.16 December 31, 1998 .72 3.19 24.77 December 31, 1997 .74 3.63 42.46 -------------------------------------------------------------------------------------------------------------------- Putnam VT Vista Fund June 30, 2002+ .35* (.16)* 44.76* December 31, 2001 .67 (.18) 112.81 December 31, 2000 .67 (.22) 104.60 December 31, 1999 .75 (.29) 133.32 December 31, 1998 .77 (.12) 116.48 December 31, 1997** .87 -- 75.43 -------------------------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA ---------------------------------------------------------------------------------------------------------------------- Investment Operations: Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations ---------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund June 30, 2002+ $28.72 $.07(a) $(4.80) $(4.73) December 31, 2001 48.82 .20(a) (10.65) (10.45) December 31, 2000 66.25 .04(a) (8.96) (8.92) December 31, 1999 45.85 .03(a) 24.59 24.62 December 31, 1998 39.08 .05(a) 9.26 9.31 December 31, 1997 32.53 .10 8.01 8.11 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II June 30, 2002+ $4.98 $(.02)(a) $(.92) $(.94) December 31, 2001 7.18 (.06)(a) (2.14) (2.20) December 31, 2000********* 10.00 (.05)(a) (2.77) (2.82) ---------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IA ------------------------------------------------------------------------------------------------- Less Distributions: From From Net Net Realized From Investment Gain on Return Period ended Income Investments of Capital ------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund June 30, 2002+ $(.21) $-- $-- December 31, 2001 (.05) (9.60) -- December 31, 2000 (.02) (8.49) -- December 31, 1999 (.05) (4.17) -- December 31, 1998 (.10) (2.44) -- December 31, 1997 (.07) (1.49) -- ------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000********* -- -- -- ------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA ------------------------------------------------------------------------------------------------------------------------- Total Investment Return at Net Assets, Total Net Asset Value, Net Asset End of Period Period ended Distributions End of Period Value(%)(c) (in thousands) ------------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund June 30, 2002+ $(.21) $23.78 (16.58)* $3,631,591 December 31, 2001 (9.65) 28.72 (22.24) 4,784,868 December 31, 2000 (8.51) 48.82 (16.41) 7,326,157 December 31, 1999 (4.22) 66.25 58.22 9,130,197 December 31, 1998 (2.54) 45.85 24.36 5,803,073 December 31, 1997 (1.56) 39.08 26.51 4,538,535 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II June 30, 2002+ $-- $4.04 (18.88)* $4,916 December 31, 2001 -- 4.98 (30.64) 7,558 December 31, 2000********* -- 7.18 (28.20)* 3,174 ------------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IA --------------------------------------------------------------------------------------------------------------------- Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) --------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund June 30, 2002+ .29* .26* 52.37* December 31, 2001 .57 .61 105.03 December 31, 2000 .56 .07 92.54 December 31, 1999 .57 .05 85.13 December 31, 1998 .58 .14 62.99 December 31, 1997 .59 .30 82.00 --------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II June 30, 2002+ .69* (.52)* 62.35* December 31, 2001 1.62 (1.10) 109.55 December 31, 2000********* .85* (.67)* 28.20* --------------------------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB ---------------------------------------------------------------------------------------------------------------------- Investment Operations: Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations ---------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund June 30, 2002+ $11.59 $.23(a) $.17 $.40 December 31, 2001 10.87 .47(a)(b) .25 .72 December 31, 2000******* 10.00 .54(a)(b) .66 1.20 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund June 30, 2002+ $5.18 $--(a)(e) $.22 $.22 December 31, 2001 9.27 .01(a) (1.94) (1.93) December 31, 2000 17.25 (.02)(a) (7.41) (7.43) December 31, 1999 8.33 (.08)(a) 9.00 8.92 December 31, 1998**** 8.57 (.01)(a) (.23) (.24) ---------------------------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund June 30, 2002+ $7.80 $--(a)(e) $(1.23) $(1.23) December 31, 2001 9.06 (.01)(a) (1.25) (1.26) December 31, 2000********* 10.00 (.05)(a) (.89) (.94) ---------------------------------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund June 30, 2002+ $8.75 $.34(a) $(.22) $.12 December 31, 2001 9.11 .76(a) (.45) .31 December 31, 2000 9.90 .78(a) (.78) -- December 31, 1999 10.47 .78(a) (.62) .16 December 31, 1998*** 10.95 .62(a) (1.10) (.48) ---------------------------------------------------------------------------------------------------------------------- Putnam VT The George Putnam Fund of Boston June 30, 2002+ $10.69 $.14(a) $(.53) $(.39) December 31, 2001 10.94 .29(a) (.25) .04 December 31, 2000 9.98 .18(a) .78 .96 December 31, 1999 10.28 .30(a) (.34) (.04) December 31, 1998**** 10.00 .17(a)(b) .20 .37 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund June 30, 2002+ $13.37 $.14(a) $(.76) $(.62) December 31, 2001 16.67 .32(a) (1.77) (1.45) December 31, 2000 19.60 .45(a) (1.29) (.84) December 31, 1999 18.95 .39(a) 1.69 2.08 December 31, 1998**** 18.16 .33(a) .46 .79 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Global Growth Fund June 30, 2002+ $9.27 $.03(a) $(1.27) $(1.24) December 31, 2001 18.02 --(a)(e) (5.14) (5.14) December 31, 2000 30.41 (.10)(a) (7.34) (7.44) December 31, 1999 20.28 (.10)(a) 12.08 11.98 December 31, 1998**** 18.03 (.05)(a) 2.30 2.25 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Growth and Income Fund June 30, 2002+ $23.44 $.15(a) $(2.23) $(2.08) December 31, 2001 25.76 .29(a) (1.93) (1.64) December 31, 2000 26.75 .36(a) 1.48 1.84 December 31, 1999 28.75 .41(a) .04 .45 December 31, 1998*** 28.02 .26(a) .47 .73 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Growth Opportunities Fund June 30, 2002+ $5.29 $(.01)(a) $(1.12) $(1.13) December 31, 2001 7.79 (.02)(a) (2.48) (2.50) December 31, 2000******* 10.00 (.04)(a) (2.17) (2.21) ---------------------------------------------------------------------------------------------------------------------- Putnam VT Health Sciences Fund June 30, 2002+ $11.70 $.01(a) $(1.76) $(1.75) December 31, 2001 14.58 (.02)(a) (2.86) (2.88) December 31, 2000 10.50 (.01)(a) 4.09 4.08 December 31, 1999 10.93 --(a)(e) (.43) (.43) December 31, 1998**** 10.00 (.01)(a)(b) .95 .94 ---------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IB ----------------------------------------------------------------------------------------------------- Less Distributions: From From Net From Net Realized Return Investment Gain on of Period ended Income Investments Capital ----------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund June 30, 2002+ $(.28) $-- $-- December 31, 2001 -- --(e) -- December 31, 2000******* (.22) (.11) -- ----------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund June 30, 2002+ $(.03) $-- $-- December 31, 2001 -- (2.16) -- December 31, 2000 (.54) (.01) -- December 31, 1999 -- -- -- December 31, 1998**** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000********* -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund June 30, 2002+ $(.76) $-- $-- December 31, 2001 (.67) -- -- December 31, 2000 (.79) -- -- December 31, 1999 (.73) -- -- December 31, 1998*** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT The George Putnam Fund of Boston June 30, 2002+ $(.24) $-- $-- December 31, 2001 (.29) -- -- December 31, 2000 -- -- -- December 31, 1999 (.23) (.02) (.01) December 31, 1998**** (.09) -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund June 30, 2002+ $(.23) $-- $-- December 31, 2001 (.16) (1.69) -- December 31, 2000 (.33) (1.76) -- December 31, 1999 (.37) (1.06) -- December 31, 1998**** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Global Growth Fund June 30, 2002+ $(.01) $-- $-- December 31, 2001 -- (3.61) -- December 31, 2000 (.18) (4.77) -- December 31, 1999 (.08) (1.77) -- December 31, 1998**** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Growth and Income Fund June 30, 2002+ $(.32) $(.12) $-- December 31, 2001 (.39) (.29) -- December 31, 2000 (.49) (2.34) -- December 31, 1999 (.41) (2.04) -- December 31, 1998*** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Growth Opportunities Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000******* -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Health Sciences Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000 -- -- -- December 31, 1999 --(e) -- -- December 31, 1998**** (.01) -- --(e) ----------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB ------------------------------------------------------------------------------------------------------------------------- Total Investment Return at Net Assets, Total Net Asset Value, Net Asset End of Period Period ended distributions End of Period Value(%)(c) (in thousands) ------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund June 30, 2002+ $(.28) $11.71 3.55* $108,142 December 31, 2001 --(e) 11.59 6.64 73,366 December 31, 2000******* (.33) 10.87 11.98* 7,690 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund June 30, 2002+ $(.03) $5.37 4.31* $4,551 December 31, 2001 (2.16) 5.18 (24.00) 4,318 December 31, 2000 (.55) 9.27 (44.34) 6,919 December 31, 1999 -- 17.25 107.08 6,866 December 31, 1998**** -- 8.33 (2.80)* 111 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund June 30, 2002+ $-- $6.57 (15.77)* $12,680 December 31, 2001 -- 7.80 (13.91) 9,784 December 31, 2000********* -- 9.06 (9.40)* 989 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund June 30, 2002+ $(.76) $8.11 1.28* $98,629 December 31, 2001 (.67) 8.75 3.51 92,828 December 31, 2000 (.79) 9.11 (0.07) 68,832 December 31, 1999 (.73) 9.90 1.65 23,182 December 31, 1998*** -- 10.47 (4.38)* 1,963 ------------------------------------------------------------------------------------------------------------------------- Putnam VT The George Putnam Fund of Boston June 30, 2002+ $(.24) $10.06 (3.77)* $177,257 December 31, 2001 (.29) 10.69 0.46 156,821 December 31, 2000 -- 10.94 9.62 94,236 December 31, 1999 (.26) 9.98 (.41) 38,566 December 31, 1998**** (.09) 10.28 3.69* 1,924 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund June 30, 2002+ $(.23) $12.52 (4.77)* $25,043 December 31, 2001 (1.85) 13.37 (8.58) 24,735 December 31, 2000 (2.09) 16.67 (4.87) 18,984 December 31, 1999 (1.43) 19.60 11.76 6,617 December 31, 1998**** -- 18.95 4.35* 1,319 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Global Growth Fund June 30, 2002+ $(.01) $8.02 (13.44)* $79,714 December 31, 2001 (3.61) 9.27 (29.76) 92,817 December 31, 2000 (4.95) 18.02 (29.75) 103,129 December 31, 1999 (1.85) 30.41 64.56 28,909 December 31, 1998**** -- 20.28 12.48* 823 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Growth and Income Fund June 30, 2002+ $(.44) $20.92 (9.08)* $702,853 December 31, 2001 (.68) 23.44 (6.39) 709,842 December 31, 2000 (2.83) 25.76 7.92 513,216 December 31, 1999 (2.45) 26.75 1.47 162,112 December 31, 1998*** -- 28.75 2.61* 7,583 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Growth Opportunities Fund June 30, 2002+ $-- $4.16 (21.36)* $35,110 December 31, 2001 -- 5.29 (32.09) 44,521 December 31, 2000******* -- 7.79 (22.10)* 41,072 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Health Sciences Fund June 30, 2002+ $-- $9.95 (14.96)* $122,678 December 31, 2001 -- 11.70 (19.75) 128,067 December 31, 2000 -- 14.58 38.86 107,991 December 31, 1999 --(e) 10.50 (3.90) 20,162 December 31, 1998**** (.01) 10.93 9.40* 2,129 ------------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IB ----------------------------------------------------------------------------------------------------------------------- Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) ----------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund June 30, 2002+ .50* 2.01* 123.95(f)* December 31, 2001 .99(b) 4.12(b) 262.05(f) December 31, 2000******* .95(b)* 5.21(b)* 336.72* ----------------------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund June 30, 2002+ .71* .08* 23.50* December 31, 2001 1.35 .21 100.86 December 31, 2000 1.22 (.19) 149.46 December 31, 1999 1.28 (.64) 145.51 December 31, 1998**** .85* (.10)* 136.49 ----------------------------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund June 30, 2002+ .68* .03* 101.83* December 31, 2001 1.57 (.13) 101.98 December 31, 2000********* 1.22* (.66)* 89.87* ----------------------------------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund June 30, 2002+ .53* 4.04* 91.92(f)* December 31, 2001 1.01 8.58 139.13(f) December 31, 2000 .93 8.45 169.27 December 31, 1999 .93 7.67 117.02 December 31, 1998*** .69* 5.74* 186.80 ----------------------------------------------------------------------------------------------------------------------- Putnam VT The George Putnam Fund of Boston June 30, 2002+ .50* 1.29* 87.37(f)* December 31, 2001 .98 2.69 334.64(f) December 31, 2000 .91 3.27 154.53 December 31, 1999 .98 3.00 173.41 December 31, 1998**** .67(b)* 1.74(b)* 99.85* ----------------------------------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund June 30, 2002+ .56* 1.05* 50.84* December 31, 2001 1.06 2.29 187.96(f) December 31, 2000 .94 2.60 159.03 December 31, 1999 .92 2.15 149.82 December 31, 1998**** .63* 1.82* 133.80 ----------------------------------------------------------------------------------------------------------------------- Putnam VT Global Growth Fund June 30, 2002+ .56* .32* 120.85* December 31, 2001 1.04 (.02) 186.11 December 31, 2000 .91 (.43) 170.41 December 31, 1999 .88 (.43) 154.88 December 31, 1998**** .59* (.34)* 164.56 ----------------------------------------------------------------------------------------------------------------------- Putnam VT Growth and Income Fund June 30, 2002+ .38* .64* 22.93* December 31, 2001 .73 1.22 32.75 December 31, 2000 .65 1.47 55.04 December 31, 1999 .65 1.55 53.68 December 31, 1998*** .49* 1.20* 63.62 ----------------------------------------------------------------------------------------------------------------------- Putnam VT Growth Opportunities Fund June 30, 2002+ .56* (.13)* 25.50* December 31, 2001 1.07 (.39) 83.13 December 31, 2000******* .94* (.39)* 57.60* ----------------------------------------------------------------------------------------------------------------------- Putnam VT Health Sciences Fund June 30, 2002+ .53* .08* 44.06* December 31, 2001 1.01 (.13) 53.20 December 31, 2000 .94 (.10) 49.10 December 31, 1999 .98 (.01) 82.45 December 31, 1998**** .71(b)* (.11)(b)* 39.68* ----------------------------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB ---------------------------------------------------------------------------------------------------------------------- Investment Operations: Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations ---------------------------------------------------------------------------------------------------------------------- Putnam VT High Yield Fund June 30, 2002+ $8.06 $.38(a) $(.57) $(.19) December 31, 2001 8.97 .88(a) (.54) .34 December 31, 2000 11.08 1.13(a) (1.97) (.84) December 31, 1999 11.70 1.11(a) (.47) .64 December 31, 1998**** 12.99 .79(a) (2.08) (1.29) ---------------------------------------------------------------------------------------------------------------------- Putnam VT Income Fund June 30, 2002+ $12.60 $.33(a) $.04 $.37 December 31, 2001 12.58 .65(a) .23 .88 December 31, 2000 12.51 .81(a) .11 .92 December 31, 1999 13.73 .76(a) (1.04) (.28) December 31, 1998**** 12.88 .50(a) .35 .85 ---------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth Fund June 30, 2002+ $12.36 $.09(a) $(.53) $(.44) December 31, 2001 17.67 .09(a) (3.61) (3.52) December 31, 2000 21.63 .21(a) (1.97) (1.76) December 31, 1999 13.51 .05(a) 8.07 8.12 December 31, 1998**** 13.44 (.04)(a) .15 .11 ---------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth and Income Fund June 30, 2002+ $9.73 $.09(a) $.12 $.21 December 31, 2001 13.25 .11(a) (2.79) (2.68) December 31, 2000 15.22 .13(a) .08 .21 December 31, 1999 12.24 .15(a) 2.83 2.98 December 31, 1998*** 13.36 (.01)(a) (.57) (.58) ---------------------------------------------------------------------------------------------------------------------- Putnam VT International New Opportunities Fund June 30, 2002+ $9.75 $.05(a) $(.18) $(.13) December 31, 2001 13.67 .02(a) (3.94) (3.92) December 31, 2000 23.28 (.13)(a) (8.44) (8.57) December 31, 1999 11.48 (.16)(a) 11.96 11.80 December 31, 1998**** 11.39 (.05)(a)(b) .14 .09 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Investors Fund June 30, 2002+ $9.26 $.01(a) $(1.44) $(1.43) December 31, 2001 12.31 .01(a) (3.06) (3.05) December 31, 2000 15.13 (.01)(a) (2.81) (2.82) December 31, 1999 11.64 (.01)(a) 3.50 3.49 December 31, 1998**** 10.00 .01(a)(b) 1.64 1.65 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Money Market Fund June 30, 2002+ $1.00 $.0063 $-- $.0063 December 31, 2001 1.00 .0370 -- .0370 December 31, 2000 1.00 .0566 -- .0566 December 31, 1999 1.00 .0460 -- .0460 December 31, 1998**** 1.00 .0338(a) -- .0338 ---------------------------------------------------------------------------------------------------------------------- Putnam VT New Opportunities Fund June 30, 2002+ $16.55 $(.04)(a) $(3.47) $(3.51) December 31, 2001 29.77 (.08)(a) (8.72) (8.80) December 31, 2000 43.44 (.18)(a) (10.00) (10.18) December 31, 1999 26.04 (.15)(a) 17.92 17.77 December 31, 1998**** 23.94 (.05)(a) 2.15 2.10 ---------------------------------------------------------------------------------------------------------------------- Putnam VT New Value Fund June 30, 2002+ $13.42 $.06(a) $(.93) $(.87) December 31, 2001 13.49 .14(a) .29 .43 December 31, 2000 11.85 .20(a) 2.26 2.46 December 31, 1999 12.02 .17(a) (.13) .04 December 31, 1998**** 11.91 .13(a) .13 .26 ---------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IB ----------------------------------------------------------------------------------------------------- Less Distributions: From From Net From Net Realized Return Investment Gain on of Period ended Income Investments Capital ----------------------------------------------------------------------------------------------------- Putnam VT High Yield Fund June 30, 2002+ $(.97) $-- $-- December 31, 2001 (1.25) -- -- December 31, 2000 (1.27) -- -- December 31, 1999 (1.26) -- -- December 31, 1998**** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Income Fund June 30, 2002+ $(.66) $-- $-- December 31, 2001 (.86) -- -- December 31, 2000 (.85) -- -- December 31, 1999 (.73) (.21) -- December 31, 1998**** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT International Growth Fund June 30, 2002+ $(.09) $-- $-- December 31, 2001 (.04) (1.75) -- December 31, 2000 (.41) (1.79) -- December 31, 1999 -- -- -- December 31, 1998**** (.03) -- (.01) ----------------------------------------------------------------------------------------------------- Putnam VT International Growth and Income Fund June 30, 2002+ $(.05) $-- $-- December 31, 2001 (.12) (.72) -- December 31, 2000 (.68) (1.50) -- December 31, 1999 -- -- -- December 31, 1998*** (.11) (.37) (.06) ----------------------------------------------------------------------------------------------------- Putnam VT International New Opportunities Fund June 30, 2002+ $(.06) $-- $-- December 31, 2001 -- -- -- December 31, 2000 (.01) (1.03) --(e) December 31, 1999 --(e) -- -- December 31, 1998**** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT Investors Fund June 30, 2002+ $(.01) $-- $-- December 31, 2001 -- -- -- December 31, 2000 -- -- -- December 31, 1999 -- -- -- December 31, 1998**** (.01) -- --(e) ----------------------------------------------------------------------------------------------------- Putnam VT Money Market Fund June 30, 2002+ $(.0063) $-- $-- December 31, 2001 (.0370) -- -- December 31, 2000 (.0566) -- -- December 31, 1999 (.0460) -- -- December 31, 1998**** (.0338) -- -- ----------------------------------------------------------------------------------------------------- Putnam VT New Opportunities Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- (4.42) --(e) December 31, 2000 -- (3.49) -- December 31, 1999 -- (.37) -- December 31, 1998**** -- -- -- ----------------------------------------------------------------------------------------------------- Putnam VT New Value Fund June 30, 2002+ $(.11) $(.38) $-- December 31, 2001 (.13) (.37) -- December 31, 2000 (.18) (.64) -- December 31, 1999 -- (.21) -- December 31, 1998**** (.13) (.02) -- ----------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB ------------------------------------------------------------------------------------------------------------------------- Total Investment Return at Net Assets, Total Net Asset Value, Net Asset End of Period Period ended Distributions End of Period Value(%)(c) (in thousands) ------------------------------------------------------------------------------------------------------------------------- Putnam VT High Yield Fund June 30, 2002+ $(.97) $6.90 (2.96)* $67,854 December 31, 2001 (1.25) 8.06 3.78 64,972 December 31, 2000 (1.27) 8.97 (8.51) 38,039 December 31, 1999 (1.26) 11.08 5.81 17,646 December 31, 1998**** -- 11.70 (9.93)* 1,840 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Income Fund June 30, 2002+ $(.66) $12.31 3.03* $184,839 December 31, 2001 (.86) 12.60 7.30 144,380 December 31, 2000 (.85) 12.58 7.79 55,669 December 31, 1999 (.94) 12.51 (2.16) 18,116 December 31, 1998**** -- 13.73 6.60* 2,288 ------------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth Fund June 30, 2002+ $(.09) $11.83 (3.57)* $315,923 December 31, 2001 (1.79) 12.36 (20.61) 252,647 December 31, 2000 (2.20) 17.67 (9.61) 197,754 December 31, 1999 -- 21.63 60.10 40,448 December 31, 1998**** (.04) 13.51 .81* 1,234 ------------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth and Income Fund June 30, 2002+ $(.05) $9.89 2.14* $51,502 December 31, 2001 (.84) 9.73 (20.81) 41,771 December 31, 2000 (2.18) 13.25 1.33 36,934 December 31, 1999 -- 15.22 24.35 10,652 December 31, 1998*** (.54) 12.24 (4.24)* 926 ------------------------------------------------------------------------------------------------------------------------- Putnam VT International New Opportunities Fund June 30, 2002+ $(.06) $9.56 (1.35)* $150,511 December 31, 2001 -- 9.75 (28.68) 159,227 December 31, 2000 (1.04) 13.67 (38.67) 184,660 December 31, 1999 --(e) 23.28 102.80 33,554 December 31, 1998**** -- 11.48 .79* 85 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Investors Fund June 30, 2002+ $(.01) $7.82 (15.44)* $218,053 December 31, 2001 -- 9.26 (24.78) 261,025 December 31, 2000 -- 12.31 (18.64) 279,598 December 31, 1999 -- 15.13 29.98 101,795 December 31, 1998**** (.01) 11.64 16.54* 2,619 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Money Market Fund June 30, 2002+ $(.0063) $1.00 0.63* $150,077 December 31, 2001 (.0370) 1.00 3.76 154,176 December 31, 2000 (.0566) 1.00 5.82 101,820 December 31, 1999 (.0460) 1.00 4.66 41,516 December 31, 1998**** (.0338) 1.00 3.42* 13,188 ------------------------------------------------------------------------------------------------------------------------- Putnam VT New Opportunities Fund June 30, 2002+ $-- $13.04 (21.21)* $153,578 December 31, 2001 (4.42) 16.55 (30.14) 200,041 December 31, 2000 (3.49) 29.77 (26.20) 231,779 December 31, 1999 (.37) 43.44 69.10 62,977 December 31, 1998**** -- 26.04 8.77* 1,359 ------------------------------------------------------------------------------------------------------------------------- Putnam VT New Value Fund June 30, 2002+ $(.49) $12.06 (6.88)* $106,805 December 31, 2001 (.50) 13.42 3.32 88,543 December 31, 2000 (.82) 13.49 22.37 30,806 December 31, 1999 (.21) 11.85 .26 9,541 December 31, 1998**** (.15) 12.02 2.28* 414 ------------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IB ------------------------------------------------------------------------------------------------------------------------ Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) ------------------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund June 30, 2002+ .51* 4.95* 38.38* December 31, 2001 .98 10.71 81.97 December 31, 2000 .89 11.61 69.05 December 31, 1999 .87 10.01 52.96 December 31, 1998**** .58* 7.63* 52.00 ------------------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund June 30, 2002+ .46* 2.63* 137.42(f)* December 31, 2001 .90 5.26 250.79(f) December 31, 2000 .82 6.74 238.00 December 31, 1999 .82 6.14 220.90 December 31, 1998**** .56* 4.03* 233.04 ------------------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund June 30, 2002+ .61* .75* 26.37* December 31, 2001 1.16 .66 69.81 December 31, 2000 1.09 1.13 78.84 December 31, 1999 1.17 .31 107.38 December 31, 1998**** .83* (.29)* 98.31 ------------------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund June 30, 2002+ .62* .88* 62.53* December 31, 2001 1.20 1.02 154.29 December 31, 2000 1.12 .97 82.02 December 31, 1999 1.13 1.08 92.27 December 31, 1998*** .84* (.07)* 62.61 ------------------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund June 30, 2002+ .74* .53* 63.67* December 31, 2001 1.46 .14 198.97 December 31, 2000 1.36 (.74) 189.71 December 31, 1999 1.56 (.97) 196.53 December 31, 1998**** 1.18(b)* (.44)(b)* 157.72 ------------------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund June 30, 2002+ .47* .08* 73.23* December 31, 2001 .88 .02 98.05 December 31, 2000 .80 (.06) 76.32 December 31, 1999 .86 (.11) 65.59 December 31, 1998**** .67(b)* .03(b)* 42.97* ------------------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund June 30, 2002+ .38* .64* -- December 31, 2001 .67 3.51 -- December 31, 2000 .65 5.81 -- December 31, 1999 .64 4.61 -- December 31, 1998**** .46* 3.18* -- ------------------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund June 30, 2002+ .43* (.23)* 44.28* December 31, 2001 .81 (.43) 72.16 December 31, 2000 .72 (.45) 53.64 December 31, 1999 .74 (.47) 71.14 December 31, 1998**** .51* (.25)* 59.75 ------------------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund June 30, 2002+ .50* .48* 23.53* December 31, 2001 1.01 1.10 74.80 December 31, 2000 .94 1.65 83.62 December 31, 1999 .95 1.43 98.21 December 31, 1998**** .65* 1.26* 130.96 ------------------------------------------------------------------------------------------------------------------------ See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB ---------------------------------------------------------------------------------------------------------------------- Investment Operations: Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations ---------------------------------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund June 30, 2002+ $5.99 $(.03)(a) $(1.24) $(1.27) December 31, 2001 11.03 (.06)(a) (4.98) (5.04) December 31, 2000 22.76 (.10)(a) (11.40) (11.50) December 31, 1999 10.08 (.10)(a)(b) 12.84 12.74 December 31, 1998**** 10.00 (.03)(a)(b) .11 .08 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Research Fund June 30, 2002+ $10.94 $.02(a) $(1.63) $(1.61) December 31, 2001 14.28 .05(a) (2.72) (2.67) December 31, 2000 14.67 .05(a) (.34) (.29) December 31, 1999 11.90 .02(a)(b) 3.23 3.25 December 31, 1998***** 10.00 .02(a)(b) 1.90 1.92 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Small Cap Value Fund June 30, 2002+ $15.03 $.01(a) $.44 $.45 December 31, 2001 12.79 .04(a) 2.27 2.31 December 31, 2000 10.30 .05(a) 2.47 2.52 December 31, 1999****** 10.00 (.03)(a) .37 .34 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Technology Fund June 30, 2002+ $4.24 $(.02)(a) $(1.22) $(1.24) December 31, 2001 6.97 (.06)(a) (2.67) (2.73) December 31, 2000******** 10.00 (.07)(a) (2.96) (3.03) ---------------------------------------------------------------------------------------------------------------------- Putnam VT Utilities Growth and Income Fund June 30, 2002+ $12.92 $.17(a) $(2.13) $(1.96) December 31, 2001 18.09 .33(a) (4.16) (3.83) December 31, 2000 16.95 .45(a) 2.26 2.71 December 31, 1999 18.19 .47(a) (.69) (.22) December 31, 1998**** 16.19 .29(a) 1.71 2.00 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Vista Fund June 30, 2002+ $11.34 $(.03)(a) $(2.17) $(2.20) December 31, 2001 19.60 (.05)(a) (6.45) (6.50) December 31, 2000 20.65 (.08)(a) (.72) (.80) December 31, 1999 14.73 (.07)(a) 7.62 7.55 December 31, 1998**** 13.76 (.02)(a) .99 .97 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund June 30, 2002+ $28.56 $.04(a) $(4.78) $(4.74) December 31, 2001 48.64 .13(a) (10.61) (10.48) December 31, 2000 66.11 .01(a) (8.99) (8.98) December 31, 1999 45.81 (.10)(a) 24.62 24.52 December 31, 1998**** 41.55 (.01)(a) 4.27 4.26 ---------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II June 30, 2002+ $4.97 $(.03)(a) $(.91) $(.94) December 31, 2001 7.18 (.07)(a) (2.14) (2.21) December 31, 2000********* 10.00 (.07)(a) (2.75) (2.82) ---------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IB ------------------------------------------------------------------------------------------------------ Less Distributions: From From Net From Net Realized Return Investment Gain on of Period ended Income Investments Capital ------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000 -- (.23) --(e) December 31, 1999 -- (.06) -- December 31, 1998**** -- -- --(e) ------------------------------------------------------------------------------------------------------ Putnam VT Research Fund June 30, 2002+ $(.05) $-- $-- December 31, 2001 (.04) (.63) -- December 31, 2000 -- (.10) -- December 31, 1999 (.02) (.46) -- December 31, 1998***** (.01) (.01) -- ------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund June 30, 2002+ $(.03) $(.14) $-- December 31, 2001 --(e) (.07) -- December 31, 2000 (.03) -- -- December 31, 1999****** -- (.03) (.01) ------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000******** -- -- -- ------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund June 30, 2002+ $(.37) $-- $-- December 31, 2001 (.49) (.85) -- December 31, 2000 (.56) (1.01) -- December 31, 1999 (.50) (.52) -- December 31, 1998**** -- -- -- ------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund June 30, 2002+ $-- $-- $-- December 31, 2001 -- (1.76) --(e) December 31, 2000 -- (.25) -- December 31, 1999 -- (1.63) -- December 31, 1998**** -- -- -- ------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund June 30, 2002+ $(.15) $-- $-- December 31, 2001 -- (9.60) -- December 31, 2000 --(e) (8.49) -- December 31, 1999 (.05) (4.17) -- December 31, 1998**** -- -- -- ------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II June 30, 2002+ $-- $-- $-- December 31, 2001 -- -- -- December 31, 2000********* -- -- -- ------------------------------------------------------------------------------------------------------ See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB ------------------------------------------------------------------------------------------------------------------------- Total Investment Return at Net Assets, Total Net Asset Value, Net Asset End of Period Period ended distributions End of Period Value(%)(c) (in thousands) ------------------------------------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund June 30, 2002+ $-- $4.72 (21.20)* $44,201 December 31, 2001 -- 5.99 (45.69) 55,209 December 31, 2000 (.23) 11.03 (51.09) 74,367 December 31, 1999 (.06) 22.76 126.45 24,432 December 31, 1998**** --(e) 10.08 .82* 541 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Research Fund June 30, 2002+ $(.05) $9.28 (14.76)* $113,099 December 31, 2001 (.67) 10.94 (18.83) 119,888 December 31, 2000 (.10) 14.28 (1.98) 88,834 December 31, 1999 (.48) 14.67 27.69 26,210 December 31, 1998***** (.02) 11.90 19.19* 255 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Small Cap Value Fund June 30, 2002+ $(.17) $15.31 2.90* $228,538 December 31, 2001 (.07) 15.03 18.13 130,991 December 31, 2000 (.03) 12.79 24.44 30,586 December 31, 1999****** (.04) 10.30 3.37* 6,384 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Technology Fund June 30, 2002+ $-- $3.00 (29.25)* $12,258 December 31, 2001 -- 4.24 (39.17) 15,433 December 31, 2000******** -- 6.97 (30.30)* 12,473 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Utilities Growth and Income Fund June 30, 2002+ $(.37) $10.59 (15.56)* $49,416 December 31, 2001 (1.34) 12.92 (22.28) 59,284 December 31, 2000 (1.57) 18.09 17.45 48,543 December 31, 1999 (1.02) 16.95 (0.79) 11,337 December 31, 1998**** -- 18.19 12.35* 1,799 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Vista Fund June 30, 2002+ $-- $9.14 (19.40)* $233,981 December 31, 2001 (1.76) 11.34 (33.50) 293,140 December 31, 2000 (.25) 19.60 (4.09) 297.024 December 31, 1999 (1.63) 20.65 52.59 37,506 December 31, 1998**** -- 14.73 7.05* 851 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund June 30, 2002+ $(.15) $23.67 (16.67)* $416,623 December 31, 2001 (9.60) 28.56 (22.41) 481,526 December 31, 2000 (8.49) 48.64 (16.54) 485,116 December 31, 1999 (4.22) 66.11 58.01 155,889 December 31, 1998**** -- 45.81 10.25* 4,332 ------------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II June 30, 2002+ $-- $4.03 (18.91)* $15,053 December 31, 2001 -- 4.97 (30.78) 13,245 December 31, 2000********* -- 7.18 (28.20)* 1,921 ------------------------------------------------------------------------------------------------------------------------- PUTNAM VARIABLE TRUST Financial Highlights (Continued) CLASS IB --------------------------------------------------------------------------------------------------------------------- Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) --------------------------------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund June 30, 2002+ .56* (.50)* 34.89* December 31, 2001 1.07 (.86) 116.66 December 31, 2000 .96 (.59) 88.63 December 31, 1999 1.05(b) (.68)(b) 127.98 December 31, 1998**** .71(b)* (.42)(b)* 59.93* --------------------------------------------------------------------------------------------------------------------- Putnam VT Research Fund June 30, 2002+ .51* .15* 78.67* December 31, 2001 .96 .46 146.42 December 31, 2000 .93 .35 161.52 December 31, 1999 1.00(b) .13(b) 169.16 December 31, 1998***** .25(b)* .15(b)* 19.76* --------------------------------------------------------------------------------------------------------------------- Putnam VT Small Cap Value Fund June 30, 2002+ .57* .06* 19.35* December 31, 2001 1.16 .33 36.65 December 31, 2000 1.25 .44 34.05 December 31, 1999****** 1.39* (.31)* 48.24* --------------------------------------------------------------------------------------------------------------------- Putnam VT Technology Fund June 30, 2002+ .79* (.61)* 52.82* December 31, 2001 1.67 (1.34) 280.37 December 31, 2000******** 1.12* (.89)* 150.70* --------------------------------------------------------------------------------------------------------------------- Putnam VT Utilities Growth and Income Fund June 30, 2002+ .51* 1.39* 25.00* December 31, 2001 .95 2.23 93.13 December 31, 2000 .87 2.68 28.88 December 31, 1999 .86 2.77 26.16 December 31, 1998**** .59* 1.98* 24.77 --------------------------------------------------------------------------------------------------------------------- Putnam VT Vista Fund June 30, 2002+ .48* (.28)* 44.76* December 31, 2001 .89 (.39) 112.81 December 31, 2000 .82 (.36) 104.60 December 31, 1999 .90 (.42) 133.32 December 31, 1998**** .62* (.18)* 116.48 --------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund June 30, 2002+ .42* .13* 52.37* December 31, 2001 .79 .39 105.03 December 31, 2000 .71 .02 92.54 December 31, 1999 .72 (.21) 85.13 December 31, 1998**** .49* (.04)* 62.99 --------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II June 30, 2002+ .82* (.64)* 62.35* December 31, 2001 1.84 (1.34) 109.55 December 31, 2000********* .89* (.67)* 28.20* --------------------------------------------------------------------------------------------------------------------- See page 218 for Notes to Financial Highlights. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Notes to Financial Highlights + Unaudited. * Not annualized. ** For the period January 2, 1997 (commencement of operations) to December 31, 1997. *** For the period April 6, 1998 (commencement of operations) to December 31, 1998. **** For the period April 30, 1998 (commencement of operations) to December 31, 1998. ***** For the period September 30, 1998 (commencement of operations) to December 31, 1998. ****** For the period April 30, 1999 (commencement of operations) to December 31, 1999. ******* For the period February 1, 2000 (commencement of operations) to December 31, 2000. ******** For the period June 14, 2000 (commencement of operations) to December 31, 2000. ********* For the period September 29, 2000 (commencement of operations) to December 31, 2000. (a) Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Reflects an expense limitation in effect during the period. As a result of such limitation, the expenses of the following funds reflect a reduction of the following amounts based on average net assets.
12/31/00 12/31/99 12/31/98 12/31/97 -------- -------- -------- -------- Putnam VT American Government Income Fund Class IA 0.19% Putnam VT American Government Income Fund Class IB 0.19% Putnam VT The George Putnam Fund of Boston Class IA 0.28% Putnam VT The George Putnam Fund of Boston Class IB 0.28% Putnam VT Health Sciences Fund Class IA 0.07% Putnam VT Health Sciences Fund Class IB 0.07% Putnam VT International Growth Fund Class IA 0.10% Putnam VT International New Opportunities Fund Class IA 0.02% 0.28% Putnam VT International New Opportunities Fund Class IB 0.02% Putnam VT Investors Fund Class IA 0.02% Putnam VT Investors Fund Class IB 0.02% Putnam VT OTC & Emerging Growth Fund Class IA 0.53% 0.71% Putnam VT OTC & Emerging Growth Fund Class IB 0.53% 0.71% Putnam VT Research Fund Class IA 0.54% 0.24% Putnam VT Research Fund Class IB 0.54% 0.24% (c) Total return assumes dividend reinvestment. (d) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2). (e) Amount represents less than $0.01 per share. (f) Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy.
PUTNAM VARIABLE TRUST Notes to Financial Statements June 30, 2002 (Unaudited) NOTE 1 SIGNIFICANT ACCOUNTING POLICIES Putnam Variable Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company (except for Putnam VT Health Sciences Fund, Putnam VT Technology Fund and Putnam VT Utilities Growth and Income Fund, which are non-diversified) each of which consists of a series of investment portfolios (the "funds"), each of which is represented by a separate series of class IA shares and class IB shares of beneficial interest. The Trust currently offers the following twenty-seven funds: Putnam VT American Government Income Fund, Putnam VT Asia Pacific Growth Fund, Putnam VT Capital Appreciation Fund, Putnam VT Diversified Income Fund, Putnam VT The George Putnam Fund of Boston, Putnam VT Global Asset Allocation Fund, Putnam VT Global Growth Fund, Putnam VT Growth and Income Fund, Putnam VT Growth Opportunities Fund, Putnam VT Health Sciences Fund, Putnam VT High Yield Fund, Putnam VT Income Fund, Putnam VT International Growth Fund, Putnam VT International Growth and Income Fund, Putnam VT International New Opportunities Fund, Putnam VT Investors Fund, Putnam VT Money Market Fund, Putnam VT New Opportunities Fund, Putnam VT New Value Fund, Putnam VT OTC & Emerging Growth Fund, Putnam VT Research Fund, Putnam VT Small Cap Value Fund, Putnam VT Technology Fund, Putnam VT Utilities Growth and Income Fund, Putnam VT Vista Fund, Putnam VT Voyager Fund and Putnam VT Voyager Fund II. Class IA shares are offered at net asset value and are not subject to a distribution fee. Class IB shares are offered at net asset value and pay an ongoing distribution fee. Expenses of each fund are borne pro-rata by the holders of both classes of shares, except that each class bears expenses unique to that class (including the distribution fees applicable to such class). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. Shares of each class would receive their pro-rata share of the net assets of the fund if that fund were liquidated. In addition, the Trustees declare separate dividends on each class of shares. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. A) Security valuation For all funds other than Putnam VT Money Market Fund, investments for which market quotations are readily available are stated at market value, which is determined using the last reported sales price on its principal exchange, or if no sales are reported -- as in the case of some securities traded over-the-counter -- the last reported bid price. Securities quoted in foreign currencies are translated into U.S. dollars at the current exchange rate. For foreign investments, if trading or events occurring in other markets after the close of the principle exchange in which the securities are traded are expected to materially affect the value of the investments, then those investments are valued, taking into consideration these events, at their fair value following procedures approved by the Trustees. Short-term investments having remaining maturities of 60 days or less are stated at amortized cost, which approximates market value. Other investments, including restricted securities, are stated at fair value. Market quotations are not considered to be readily available for certain debt obligations; such investments are stated at fair value on the basis of valuations furnished by a pricing service or dealers, approved by the Trustees, which determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and variable relationships between securities that are generally recognized by institutional traders. See sections F, G, H, I, J and K with respect to the valuation of forward currency contracts, futures and options contracts, swap contracts, and TBA purchase and sale commitments. The valuation of Putnam VT Money Market Fund's portfolio instruments is determined by means of the amortized cost method as set forth in Rule 2a-7 under the Investment Company Act of 1940. The amortized cost of an instrument is determined by valuing it at cost originally and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. B) Joint trading account Each fund may transfer uninvested cash balances, including cash collateral received under security lending arrangements, into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Investment Management, LLC ("Putnam Management"), the Trust's manager, an indirect wholly-owned subsidiary of Putnam, LLC. These balances may be invested in issuers of high-grade short-term investments having maturities of up to 397 days for collateral received under security lending arrangements and up to 90 days for other cash investments. C) Repurchase agreements The funds, or any joint trading account, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. D) Security transactions and related investment income Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date except that certain dividends from foreign securities are recorded as soon as the funds are informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the security received. For all funds other than Putnam VT Money Market Fund, all premiums/discounts are amortized/accreted on a yield-to-maturity basis. For Putnam VT Money Market Fund, premiums and discounts from purchases of short-term investments are amortized/accreted at a constant rate until maturity. E) Foreign currency translation The accounting records of the Trust are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities are recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when accrued or incurred. The Trust does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the fund's books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments. F) Forward currency contracts Each fund, except for Putnam VT Money Market Fund, may engage in forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date, to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short-term investments). The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is "marked-to-market" daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. G) Futures and options contracts Each fund, except for Putnam VT Money Market Fund, may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase. The same funds may also write options on securities it owns or in which it may invest to increase its current returns. The potential risk to each fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin." Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. H) Equity swap contracts Putnam VT Global Asset Allocation Fund, Putnam VT Global Growth Fund, Putnam VT Growth and Income Fund, Putnam VT International New Opportunities Fund and Putnam VT International Growth Fund may engage in equity swap agreements, which are arrangements to exchange the return generated by one instrument for the return generated by another instrument. To manage its exposure to equity markets each fund may enter into equity swap agreements, which involve a commitment by one party to pay interest in exchange for a market-linked return based on a notional principal amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made at the end of the measurement period are recorded as realized gains or losses. Each fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. I) Interest rate swap contracts Putnam VT Diversified Income Fund, Putnam VT Global Asset Allocation Fund and Putnam VT High Yield Fund may engage in interest rate swap agreements, which are arrangements between two parties to exchange cash flows based on a notional principal amount. Each fund may enter into interest rate swap agreements to manage the funds exposure to interest rates. Interest rate swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments made or received are included as part of interest income. Payments received or made upon early termination are recorded as realized gain or loss. Each fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or that the counterparty may default on its obligation to perform. J) TBA purchase commitments Each fund, except for Putnam VT Money Market Fund, may enter into "TBA" (to be announced) purchase commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not fluctuate more than 0.01% from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund's other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under "Security valuation" above. Although a fund will generally enter into TBA purchase commitments with the intention of acquiring securities for their portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so. K) TBA sale commitments Each fund, except for Putnam VT Money Market Fund, may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities, generally according to the procedures described under "Security valuation" above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. L) Security lending Each fund, except for Putnam VT American Government Income Fund, Putnam VT International Growth and Income Fund, and Putnam VT Money Market Fund, may lend securities, through its agent Citibank N.A., to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by Citibank N.A., the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. At June 30, 2002, the value of securities loaned, which is pooled with collateral from other Putnam funds into 32 (except for Putnam VT Utilities Growth and Income Fund which is invested in 33) issuers of high-grade short-term investments amounted to the following: Loaned Amount Cash Collateral --------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund $1,886,935 $1,973,762 Putnam VT Capital Appreciation Fund 115,588 121,894 Putnam VT Diversified Income Fund 9,626 10,149 Putnam VT The George Putnam Fund of Boston 2,112,252 2,218,260 Putnam VT Global Asset Allocation Fund 7,479,576 7,907,284 Putnam VT Global Growth Fund 23,189,343 24,383,010 Putnam VT Growth and Income Fund 20,227,311 22,233,690 Putnam VT Health Sciences Fund 4,824,915 4,985,896 Putnam VT High Yield Fund 46,796 49,347 Putnam VT Income Fund 2,403 2,533 Putnam VT International Growth Fund 18,210,740 18,960,864 Putnam VT International New Opportunities Fund 14,619,505 15,327,366 Putnam VT Investors Fund 4,253,405 4,469,003 Putnam VT New Value Fund 6,545,994 6,985,168 Putnam VT Research Fund 304,279 358,820 Putnam VT Small Cap Value Fund 29,240,206 31,931,766 Putnam VT Technology Fund 426,410 453,648 Putnam VT Utilities Growth and Income Fund 9,301,700 9,806,360 Putnam VT Vista Fund 13,472,710 13,930,828 Putnam VT Voyager Fund 35,544,455 36,762,710 --------------------------------------------------------------------------- M) Line of credit Each fund, except for Putnam VT Money Market Fund and Putnam VT American Government Income Fund, has entered into a committed line of credit with certain banks. This line of credit agreement includes restrictions that the funds maintain an asset coverage ratio of at least 300% and borrowings must not exceed prospectus limitations. For the six months ended June 30, 2002, the funds had no borrowings against the line of credit. N) Federal income taxes Each fund of the Trust is created as a separate entity for federal income tax purposes. It is the policy of each fund to distribute all of its taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. It is also the intention of each fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Internal Revenue Code of 1986, as amended. Therefore, no provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. At December 31, 2001, the following funds had capital loss carryovers, which will expire on the following dates: Loss Carryover Expiration Date --------------------------------------------------------------------------- Putnam VT American Government Income Fund $222,000 December 31, 2009 Putnam VT Asia Pacific Growth Fund 31,983,000 December 31, 2009 Putnam VT Capital Appreciation Fund 78,000 December 31, 2008 1,722,000 December 31, 2009 Putnam VT Diversified Income Fund 16,535,000 December 31, 2006 29,254,000 December 31, 2007 17,509,000 December 31, 2008 35,410,000 December 31, 2009 Putnam VT The George Putnam Fund of Boston 7,088,000 December 31, 2008 Putnam VT Global Asset Allocation Fund 37,482,000 December 31, 2009 Putnam VT Global Growth Fund 766,368,000 December 31, 2009 Putnam VT Growth Opportunities Fund 9,529,000 December 31, 2008 61,617,000 December 31, 2009 Putnam VT Health Sciences Fund 1,006,000 December 31, 2006 15,598,000 December 31, 2007 13,938,000 December 31, 2009 Putnam VT High Yield Fund 16,523,000 December 31, 2006 60,940,000 December 31, 2007 69,811,000 December 31, 2008 88,127,000 December 31, 2009 Putnam VT Income Fund 11,074,000 December 31, 2007 27,780,000 December 31, 2008 Putnam VT International Growth Fund 86,447,000 December 31, 2009 Putnam VT International Growth and Income Fund 65,631,000 December 31, 2009 Putnam VT International New Opportunities Fund 72,898,000 December 31, 2008 135,535,000 December 31, 2009 Putnam VT Investors Fund 7,569,000 December 31, 2006 7,090,000 December 31, 2007 120,474,000 December 31, 2008 245,199,000 December 31, 2009 Putnam VT New Opportunities Fund 879,654,000 December 31, 2009 Putnam VT OTC & Emerging Growth Fund 131,657,000 December 31, 2008 207,253,000 December 31, 2009 Putnam VT Research Fund 62,410,000 December 31, 2009 Putnam VT Technology Fund 1,302,000 December 31, 2008 22,326,000 December 31, 2009 Putnam VT Utilities Growth and Income Fund 38,340,000 December 31, 2009 Putnam VT Vista Fund 363,129,000 December 31, 2009 Putnam VT Voyager Fund 539,960,000 December 31, 2009 Putnam VT Voyager Fund II 73,000 December 31, 2008 3,127,000 December 31, 2009 --------------------------------------------------------------------------- These capital loss carryovers, available to the extent allowed by tax law, may be used to offset future capital gains, if any. O) Distributions to shareholders For Putnam VT Money Market Fund, income dividends are recorded daily by the fund and are paid monthly to shareholders. For all other funds, distributions to shareholders from net investment income are recorded by each fund on the ex-dividend date. Capital gain distributions, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Reclassifications are made to the funds' capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. P) Expenses of the trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund. Q) Beneficial interest At June 30, 2002, insurance companies or their separate accounts were record owners of all but a de minimis number of the shares of each fund. From 26% to 96% of each fund is owned by accounts of one group of insurance companies. NOTE 2 MANAGEMENT FEE, ADMINISTRATIVE SERVICES, AND OTHER TRANSACTIONS Compensation of Putnam Management, for management and investment advisory services, is paid quarterly based on the average net assets of the funds. The following summarizes the management fee rates in effect at June 30, 2002:
Rate -------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund 0.80% of the first $500 million of average net assets, Putnam VT Global Growth Fund 0.70% of the next $500 million, Putnam VT International Growth Fund 0.65% of the next $500 million, Putnam VT International Growth and Income Fund 0.60% of the next $5 billion, Putnam VT Small Cap Value Fund 0.575% of the next $5 billion, 0.555% of the next $5 billion, 0.54% of the next $5 billion, and 0.53% thereafter. ........................................................................................................ Putnam VT Money Market Fund 0.45% of first $500 million of average net assets, 0.35% of the next $500 million, 0.30% of the next $500 million, 0.25% of the next $5 billion, 0.225% of the next $5 billion, 0.205% of the next $5 billion, 0.19% of the next $5 billion, and 0.18% thereafter. ........................................................................................................ Putnam VT The George Putnam Fund of Boston 0.65% of first $500 million of average net assets, Putnam VT Growth and Income Fund 0.55% of the next $500 million, Putnam VT Income Fund 0.50% of the next $500 million, Putnam VT Investors Fund 0.45% of the next $5 billion, Putnam VT Research Fund 0.425% of the next $5 billion, Putnam VT Vista Fund 0.405% of the next $5 billion, 0.39% of the next $5 billion, and 0.38% thereafter. ........................................................................................................ Putnam VT Diversified Income Fund 0.70% of first $500 million of average net assets, Putnam VT Global Asset Allocation Fund 0.60% of the next $500 million, Putnam VT Health Sciences Fund 0.55% of the next $500 million, Putnam VT High Yield Fund 0.50% of the next $5 billion, Putnam VT New Opportunities Fund 0.475% of the next $5 billion, Putnam VT New Value Fund 0.455% of the next $5 billion, Putnam VT OTC & Emerging Growth Fund 0.44% of the next $5 billion, Putnam VT Utilities Growth and Income Fund and 0.43% thereafter. Putnam VT Voyager Fund ........................................................................................................ Putnam VT International New Opportunities Fund 1.00% of the first $500 million of average net assets, Putnam VT Technology Fund 0.90% of the next $500 million, 0.85% of the next $500 million, 0.80% of the next $5 billion, 0.775% of the next $5 billion, 0.755% of the next $5 billion, 0.74% of the next $5 billion, and 0.73% thereafter. ........................................................................................................ Putnam VT American Government Income Fund 0.65% of the first $500 million of average net assets, 0.55% of the next $500 million, 0.50% of the next $500 million, 0.45% of the next $5 billion, 0.425% of the next $5 billion, 0.405% of the next $5 billion, 0.39% of the next $5 billion, 0.38% of the next $5 billion, 0.37% of the next $5 billion, 0.36% of the next $5 billion, 0.35% of the next $5 billion, and 0.34% of any excess thereafter. ........................................................................................................ Putnam VT Growth Opportunities Fund 0.70% of the first $500 million of average net assets, 0.60% of the next $500 million, 0.55% of the next $500 million, 0.50% of the next $5 billion, 0.475% of the next $5 billion, 0.455% of the next $5 billion, 0.44% of the next $5 billion, 0.43% of the next $5 billion, and 0.42% of any excess thereafter ........................................................................................................ Putnam VT Capital Appreciation Fund 0.65% of the first $500 million of average net assets, 0.55% of the next $500 million, 0.50% of the next $500 million, 0.45% of the next $5 billion, 0.425% of the next $5 billion, 0.405% of the next $5 billion, 0.39% of the next $5 billion, 0.38% of the next $5 billion, 0.37% of the next $5 billion, 0.36% of the next $5 billion, 0.35% of the next $5 billion, 0.34% of the next $5 billion, 0.33% of the next $8.5 billion, and 0.32% of any excess thereafter. ........................................................................................................ Putnam VT Voyager Fund II 0.70% of the first $500 million of average net assets, 0.60% of the next $500 million, 0.55% of the next $500 million, 0.50% of the next $5 billion, 0.475% of the next $5 billion, 0.455% of the next $5 billion, 0.44% of the next $5 billion, 0.43% of the next $5 billion, 0.42% of the next $5 billion, 0.41% of the next $5 billion, 0.40% of the next $5 billion, 0.39% of the next $5 billion, 0.38% of the next $8.5 billion, and 0.37% of any excess thereafter. ........................................................................................................
The funds reimburse Putnam Management an allocated amount for the compensation and related expenses of certain officers of the trust and their staff who provide administrative services to the Trust or funds. The aggregate amount of all such reimbursements is determined annually by the Trustees. Custodial functions for the fund's assets are provided by Putnam Fiduciary Trust Company (PFTC), a subsidiary of Putnam, LLC. Investor servicing agent functions are provided by Putnam Investor Services, a division of PFTC. Under the subcustodian contract between the subcustodian bank and PFTC, the subcustodian bank has a lien on the securities of Putnam VT American Government Income Fund, Putnam VT Asia Pacific Growth Fund, Putnam VT The George Putnam Fund of Boston, Putnam VT Global Growth Fund, Putnam VT Growth and Income Fund, Putnam VT Growth Opportunities Fund, Putnam VT Health Sciences Fund, Putnam VT Investors Fund, Putnam VT Technology Fund, Putnam VT Utilities Growth and Income Fund and Putnam VT Vista Fund to the extent permitted by each fund's investment restrictions to cover any advances made by the subcustodian bank for the settlement of securities purchased by the fund. At June 30, 2002, the payable to the subcustodian bank represents the amount due for cash advanced for the settlement of a security purchased. The funds have entered into an arrangement with PFTC whereby the credits realized as a result of uninvested cash balances are used to reduce a portion of the funds' expenses. The funds also reduced expenses through brokerage service arrangements. For the six months ended June 30, 2002, the funds' expenses were reduced by the following amounts: Putnam VT American Government Income Fund $22,925 Putnam VT Asia Pacific Growth Fund 49,444 Putnam VT Capital Appreciation Fund 1,979 Putnam VT Diversified Income Fund 20,712 Putnam VT The George Putnam Fund of Boston 65,501 Putnam VT Global Asset Allocation Fund 126,526 Putnam VT Global Growth Fund 455,832 Putnam VT Growth and Income Fund 199,615 Putnam VT Growth Opportunities Fund -- Putnam VT Health Sciences Fund 46,478 Putnam VT High Yield Fund 5,972 Putnam VT Income Fund 44,277 Putnam VT International Growth Fund 238,651 Putnam VT International Growth and Income Fund 163,205 Putnam VT International New Opportunities Fund 178,090 Putnam VT Investors Fund 58,212 Putnam VT Money Market Fund 1,848 Putnam VT New Opportunities Fund 103,735 Putnam VT New Value Fund 61,299 Putnam VT OTC & Emerging Growth Fund 4,166 Putnam VT Research Fund 40,658 Putnam VT Small Cap Value Fund 10,457 Putnam VT Technology Fund 1,195 Putnam VT Utilities Growth and Income Fund 94,974 Putnam VT Vista Fund 77,152 Putnam VT Voyager Fund 547,023 Putnam VT Voyager Fund II 3,881 Each independent Trustee of the fund receives an annual Trustee fee, of which $31,667 has been allocated to the Trust, and an additional fee for each Trustee's meeting attended. Trustees receive additional fees for attendance at certain committee meetings. Each fund has adopted a Trustee Fee Deferral Plan (the "Deferral Plan") which allows the Trustees to defer the receipt of all or a portion of Trustees Fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan. Each fund has adopted an unfunded noncontributory defined benefit pension plan (the "Pension Plan") covering all Trustees of the fund who have served as a Trustee for at least five years. Benefits under the Pension Plan are equal to 50% of the Trustee's average total retainer and meeting fees for the three years preceding retirement. Pension expense for the fund is included in Compensation of Trustees in the Statement of operations. Accrued pension liability is included in Payable for compensation of Trustees in the Statement of assets and liabilities. Each fund has adopted a distribution plan (the "Plan") with respect to its class IB shares, pursuant to Rule 12b-1 under the Investment Company Act of 1940. The purpose of the Plan is to compensate Putnam Retail Management, a wholly-owned subsidiary of Putnam, LLC and Putnam Retail Management GP, Inc., for services provided and expenses incurred by it in distributing shares of the fund. The Plan provides for payment by the fund to Putnam Retail Management at an annual rate of up to 0.35% of the fund's average net assets. The Trustees have approved payment by each fund to an annual rate of 0.25% of the average net assets of class IB shares. NOTE 3 PURCHASES AND SALES OF SECURITIES During the six months ended June 30, 2002, cost of purchases and proceeds from sales of investment securities (other than short-term investments) were as follows:
U.S. Government Obligations Other Securities --------------------------------------------------------------------------------------------------------------------------------- Purchases Sales Purchases Sales --------------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund $760,596,212 $760,851,563 $275,073,404 $266,481,576 Putnam VT Asia Pacific Growth Fund -- -- 15,466,443 16,940,910 Putnam VT Capital Appreciation Fund -- -- 33,870,715 23,813,877 Putnam VT Diversified Income Fund 321,933,992 330,331,343 279,149,755 276,816,043 Putnam VT The George Putnam Fund of Boston 360,900,142 343,631,916 385,481,130 351,382,401 Putnam VT Global Asset Allocation Fund 3,880,100 3,880,745 262,213,280 334,633,258 Putnam VT Global Growth Fund -- -- 1,322,558,394 1,436,593,078 Putnam VT Growth and Income Fund -- -- 1,726,282,848 2,052,122,252 Putnam VT Growth Opportunities Fund -- -- 22,439,951 24,168,465 Putnam VT Health Sciences Fund -- -- 201,219,637 194,642,257 Putnam VT High Yield Fund 129,012 80,000 268,400,056 251,735,183 Putnam VT Income Fund 2,073,961,990 2,040,260,160 761,158,393 785,747,639 Putnam VT International Growth Fund -- -- 248,054,536 201,629,595 Putnam VT International Growth and Income Fund -- -- 198,038,624 194,037,185 Putnam VT International New Opportunities Fund -- -- 181,104,927 198,406,687 Putnam VT Investors Fund -- -- 562,130,475 620,933,449 Putnam VT New Opportunities Fund -- -- 1,253,616,656 1,485,332,300 Putnam VT New Value Fund -- -- 210,534,429 132,203,431 Putnam VT OTC & Emerging Growth Fund -- -- 49,973,373 58,238,516 Putnam VT Research Fund -- -- 240,902,703 236,905,131 Putnam VT Small Cap Value Fund -- -- 285,414,894 88,770,846 Putnam VT Technology Fund -- -- 14,666,458 14,633,134 Putnam VT Utilities Growth and Income Fund -- -- 153,571,676 206,112,294 Putnam VT Vista Fund -- -- 292,954,824 323,012,637 Putnam VT Voyager Fund -- -- 2,499,170,412 2,921,729,204 Putnam VT Voyager Fund II -- -- 17,211,330 13,562,383
Putnam VT Money Market Fund: Cost of purchases and proceeds from sales (including maturities) of investment securities (all short-term obligations) aggregated $8,201,291,268 and $8,304,925,000, respectively. Written option transactions during the period are summarized as follows: Putnam VT Capital Appreciation Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 48,400 28,982 Options exercised (2,400) (6,128) Options expired (9,500) (3,230) -------------------------------------------------------------------------------------------- Written options outstanding at end of period 36,500 $19,624 -------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 30 10,222 Options exercised -- -- Options expired -- -- Options closed (30) (10,222) -------------------------------------------------------------------------------------------- Written options outstanding at end of period -- $-- -------------------------------------------------------------------------------------------- Putnam VT The George Putnam Fund of Boston -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 1,502,600 149,823 Options exercised -- -- Options expired -- -- Options closed (875,000) (78,044) -------------------------------------------------------------------------------------------- Written options outstanding at end of period 627,600 $71,779 -------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 1,500,207 262,969 Options expired -- -- Options closed (207) (68,121) -------------------------------------------------------------------------------------------- Written options outstanding at end of period 1,500,000 $194,848 -------------------------------------------------------------------------------------------- Putnam VT Growth Opportunities Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 39,113 47,658 Options expired (23,303) (31,351) Options closed -- -- -------------------------------------------------------------------------------------------- Written options outstanding at end of period 15,810 $ 16,307 -------------------------------------------------------------------------------------------- Putnam VT High Yield Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period 5,000,000 $898,100 Options opened -- -- Options expired -- -- Options closed (5,000,000) (898,100) -------------------------------------------------------------------------------------------- Written options outstanding at end of period -- $-- -------------------------------------------------------------------------------------------- Putnam VT Income Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 7,055,000 534,866 Options exercised -- -- Options expired -- -- Options closed (4,320,000) (385,289) -------------------------------------------------------------------------------------------- Written options outstanding at end of period 2,735,000 $149,577 -------------------------------------------------------------------------------------------- Putnam VT International Growth Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 22,400 9,212 Options expired (22,400) (9,212) Options closed -- -- -------------------------------------------------------------------------------------------- Written options outstanding at end of period -- $-- -------------------------------------------------------------------------------------------- Putnam VT Investors Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 363,238 306,814 Options exercised (11,931) (17,793) Options expired (262,038) (218,402) Options closed (68,500) (44,100) -------------------------------------------------------------------------------------------- Written options outstanding at end of period 20,769 $26,519 -------------------------------------------------------------------------------------------- Putnam VT New Opportunities Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 589,576 1,042,550 Options exercised -- -- Options expired (230,881) (320,474) Options closed (170,001) (369,538) -------------------------------------------------------------------------------------------- Written options outstanding at end of period 188,694 $352,538 -------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 8,950 26,582 Options expired -- -- Options closed -- -- -------------------------------------------------------------------------------------------- Written options outstanding at end of period 8,950 $26,582 -------------------------------------------------------------------------------------------- Putnam VT Research Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 12,750 7,731 Options expired (5,600) (3,528) Options closed (7,150) (4,203) -------------------------------------------------------------------------------------------- Written options outstanding at end of period -- $-- -------------------------------------------------------------------------------------------- Putnam VT Vista Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 90,680 112,461 Options expired -- -- Options closed -- -- -------------------------------------------------------------------------------------------- Written options outstanding at end of period 90,680 $112,461 -------------------------------------------------------------------------------------------- Putnam VT Voyager Fund -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 1,159,076 1,498,669 Options expired (407,775) (550,137) Options closed (489,474) (617,868) -------------------------------------------------------------------------------------------- Written options outstanding at end of period 261,827 $330,664 -------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II -------------------------------------------------------------------------------------------- Contract Amounts Premiums Received -------------------------------------------------------------------------------------------- Written options outstanding at beginning of period -- $-- Options opened 2.274 4,160 Options expired (392) (537) Options closed (1,052) (1,158) -------------------------------------------------------------------------------------------- Written options outstanding at end of period 830 $2,465 --------------------------------------------------------------------------------------------
NOTE 4 CAPITAL SHARES At June 30, 2002, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IA 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund Shares sold 3,940,961 $46,177,261 12,980,682 $147,695,704 Shares issued in connection with reinvestment of distributions 314,054 3,570,784 971 10,809 .................................................................................................................................. 4,255,015 49,748,045 12,981,653 147,706,513 Shares repurchased (1,225,801) (14,248,359) (2,889,892) (32,737,837) .................................................................................................................................. Net increase 3,029,214 $35,499,686 10,091,761 $114,968,676 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IA 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund Shares sold 6,522,297 $34,746,765 51,372,148 $335,576,147 Shares issued in connection with reinvestment of distributions 106,533 567,821 3,754,336 22,676,190 .................................................................................................................................. 6,628,830 35,314,586 55,126,484 358,252,337 Shares repurchased (7,168,569) (38,067,525) (54,425,193) (357,983,911) .................................................................................................................................. Net increase (decrease) (539,739) $(2,752,939) 701,291 $268,426 .................................................................................................................................. Putnam VT Capital Appreciation Fund Shares sold 1,108,192 $8,265,259 1,460,588 $11,814,157 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 1,108,192 8,265,259 1,460,588 11,814,157 Shares repurchased (576,766) (4,197,099) (303,230) (2,323,365) .................................................................................................................................. Net increase 531,426 $4,068,160 1,157,358 $9,490,792 .................................................................................................................................. Putnam VT Diversified Income Fund Shares sold 2,291,370 $19,224,773 1,860,849 $17,002,170 Shares issued in connection with reinvestment of distributions 5,097,838 41,802,270 4,542,666 39,521,197 .................................................................................................................................. 7,389,208 61,027,043 6,403,515 56,523,367 Shares repurchased (4,530,949) (38,868,134) (9,331,691) (82,541,567) .................................................................................................................................. Net increase (decrease) 2,858,259 $22,158,909 (2,928,176) $(26,018,200) .................................................................................................................................. Putnam VT The George Putnam Fund of Boston Shares sold 4,496,785 $47,589,566 8,609,614 $91,976,642 Shares issued in connection with reinvestment of distributions 916,237 9,776,247 855,961 8,953,349 .................................................................................................................................. 5,413,022 57,365,813 9,465,575 100,929,991 Shares repurchased (448,150) (4,683,317) (1,219,975) (12,955,558) .................................................................................................................................. Net increase 4,964,872 $52,682,496 8,245,600 $87,974,433 .................................................................................................................................. Putnam VT Global Asset Allocation Fund Shares sold 171,681 $2,252,311 346,018 $4,703,859 Shares issued in connection with reinvestment of distributions 821,341 10,948,479 6,562,771 86,694,210 .................................................................................................................................. 993,022 13,200,790 6,908,789 91,398,069 Shares repurchased (4,196,543) (55,109,098) (10,123,947) (141,066,363) .................................................................................................................................. Net decrease (3,203,521) $(41,908,308) (3,215,158) $(49,668,294) .................................................................................................................................. Putnam VT Global Growth Fund Shares sold 434,638 $3,834,307 4,473,613 $48,945,691 Shares issued in connection with reinvestment of distributions 323,900 2,902,141 38,199,459 380,084,619 .................................................................................................................................. 758,538 6,736,448 42,673,072 429,030,310 Shares repurchased (14,852,683) (129,742,056) (32,263,881) (351,564,283) .................................................................................................................................. Net increase (decrease) (14,094,145) $(123,005,608) 10,409,191 $77,466,027 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IA 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT Growth and Income Fund Shares sold 1,162,599 $26,771,050 5,710,671 $140,154,311 Shares issued in connection with reinvestment of distributions 6,112,795 144,934,380 9,661,577 229,752,298 .................................................................................................................................. 7,275,394 171,705,430 15,372,248 369,906,609 Shares repurchased (21,904,827) (496,567,790) (44,644,589) (1,067,479,417) .................................................................................................................................. Net decrease (14,629,433) $(324,862,360) (29,272,341) $(697,572,808) .................................................................................................................................. Putnam VT Growth Opportunities Fund Shares sold 817,321 $4,111,498 3,407,707 $22,466,349 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 817,321 4,111,498 3,407,707 22,466,349 Shares repurchased (1,679,119) (7,957,712) (2,807,723) (16,650,213) .................................................................................................................................. Net increase (decrease) (861,798) $(3,846,214) 599,984 $5,816,136 .................................................................................................................................. Putnam VT Health Sciences Fund Shares sold 549,435 $6,257,348 2,571,574 $31,349,161 Shares issued in connection with reinvestment of distributions 17,570 201,698 16,445 185,990 .................................................................................................................................. 567,005 6,459,046 2,588,019 31,535,151 Shares repurchased (2,900,855) (31,671,508) (7,492,011) (89,719,326) .................................................................................................................................. Net decrease (2,333,850) $(25,212,462) (4,903,992) $(58,184,175) .................................................................................................................................. Putnam VT High Yield Fund Shares sold 2,742,471 $21,971,373 11,365,542 $96,108,618 Shares issued in connection with reinvestment of distributions 10,555,450 76,527,015 12,037,784 97,385,674 .................................................................................................................................. 13,297,921 98,498,388 22,403,326 193,494,292 Shares repurchased (10,395,749) (78,943,837) (22,272,120) (185,862,716) .................................................................................................................................. Net increase 2,902,172 $19,554,551 1,131,206 $7,631,576 .................................................................................................................................. Putnam VT Income Fund Shares sold 2,276,533 $28,389,612 9,170,570 $116,004,826 Shares issued in connection with reinvestment of distributions 3,802,210 45,778,607 4,639,436 56,276,353 .................................................................................................................................. 6,078,743 74,168,219 13,810,006 172,281,179 Shares repurchased (4,853,634) (60,498,659) (8,195,820) (102,479,918) .................................................................................................................................. Net increase 1,225,109 $13,669,560 5,614,186 $69,801,261 .................................................................................................................................. Putnam VT International Growth Fund Shares sold 3,438,500 $41,804,536 18,131,059 $263,584,498 Shares issued in connection with reinvestment of distributions 381,548 4,719,741 5,301,172 70,770,656 .................................................................................................................................. 3,820,048 46,524,277 23,432,231 334,355,154 Shares repurchased (5,366,616) (65,392,991) (20,761,193) (295,868,554) .................................................................................................................................. Net increase (decrease) (1,546,568) $(18,868,714) 2,671,038 $38,486,600 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IA 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT International Growth and Income Fund Shares sold 1,497,240 $14,689,734 7,607,808 $85,635,447 Shares issued in connection with reinvestment of distributions 181,470 1,800,180 2,288,803 24,444,418 .................................................................................................................................. 1,678,710 16,489,914 9,896,611 110,079,865 Shares repurchased (2,768,024) (27,108,286) (11,560,295) (126,616,826) .................................................................................................................................. Net decrease (1,089,314) $(10,618,372) (1,663,684) $(16,536,961) .................................................................................................................................. Putnam VT International New Opportunities Fund Shares sold 1,820,345 $17,600,183 21,289,410 $241,252,603 Shares issued in connection with reinvestment of distributions 115,218 1,121,065 -- -- .................................................................................................................................. 1,935,563 18,721,248 21,289,410 241,252,603 Shares repurchased (3,475,482) (33,685,162) (25,564,188) (287,406,580) .................................................................................................................................. Net decrease (1,539,919) $(14,963,914) (4,274,778) $(46,153,977) .................................................................................................................................. Putnam VT Investors Fund Shares sold 537,301 $4,722,034 2,685,939 $27,484,116 Shares issued in connection with reinvestment of distributions 223,032 1,991,678 64,073 631,760 .................................................................................................................................. 760,333 6,713,712 2,750,012 28,115,876 Shares repurchased (7,348,936) (62,986,046) (11,831,665) (116,116,342) .................................................................................................................................. Net decrease (6,588,603) $(56,272,334) (9,081,653) $(88,000,466) .................................................................................................................................. Putnam VT Money Market Fund* Shares sold -- $148,938,900 -- $1,360,725,013 Shares issued in connection with reinvestment of distributions -- 6,127,402 -- 30,910,790 .................................................................................................................................. -- 155,066,302 -- 1,391,635,803 Shares repurchased -- (247,038,523) -- (1,135,393,453) .................................................................................................................................. Net increase (decrease) -- $(91,972,221) -- $256,242,350 .................................................................................................................................. Putnam VT New Opportunities Fund Shares sold 2,097,052 $32,890,441 6,652,468 $135,837,844 Shares issued in connection with reinvestment of distributions -- -- 41,169,078 712,636,733 .................................................................................................................................. 2,097,052 32,890,441 47,821,546 848,474,577 Shares repurchased (19,203,877) (289,997,615) (31,403,315) (590,391,834) .................................................................................................................................. Net increase (decrease) (17,106,825) $(257,107,174) 16,418,231 $258,082,743 .................................................................................................................................. Putnam VT New Value Fund Shares sold 4,623,973 $61,648,804 13,237,005 $179,444,258 Shares issued in connection with reinvestment of distributions 1,335,043 17,956,327 992,613 12,993,306 .................................................................................................................................. 5,959,016 79,605,131 14,229,618 192,437,564 Shares repurchased (1,551,148) (19,775,349) (2,796,229) (35,919,095) .................................................................................................................................. Net increase 4,407,868 $59,829,782 11,433,389 $156,518,469 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IA 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT OTC & Emerging Growth Fund Shares sold 1,574,568 $8,947,397 18,471,382 $132,815,890 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 1,574,568 8,947,397 18,471,382 132,815,890 Shares repurchased (3,481,143) (19,240,491) (20,386,698) (145,347,984) .................................................................................................................................. Net decrease (1,906,575) $(10,293,094) (1,915,316) $(12,532,094) .................................................................................................................................. Putnam VT Research Fund Shares sold 628,216 $6,678,310 2,965,941 $36,745,033 Shares issued in connection with reinvestment of distributions 118,038 1,275,993 981,788 11,015,661 .................................................................................................................................. 746,254 7,954,303 3,947,729 47,760,694 Shares repurchased (1,596,239) (16,180,193) (1,526,890) (17,029,512) .................................................................................................................................. Net increase (decrease) (849,985) $(8,225,890) 2,420,839 $30,731,182 .................................................................................................................................. Putnam VT Small Cap Value Fund Shares sold 9,043,589 $144,793,962 14,021,027 $197,045,613 Shares issued in connection with reinvestment of distributions 200,040 3,254,689 40,412 522,118 .................................................................................................................................. 9,243,629 148,048,651 14,061,439 197,567,731 Shares repurchased (2,258,634) (35,209,843) (3,372,557) (44,849,986) .................................................................................................................................. Net increase 6,984,995 $112,838,808 10,688,882 $152,717,745 .................................................................................................................................. Putnam VT Technology Fund Shares sold 2,093,487 $8,935,694 7,407,113 $38,939,366 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 2,093,487 8,935,694 7,407,113 38,939,366 Shares repurchased (2,604,103) (10,181,011) (6,156,424) (32,288,523) .................................................................................................................................. Net increase (decrease) (510,616) $(1,245,317) 1,250,689 $6,650,843 .................................................................................................................................. Putnam VT Utilities Growth and Income Fund Shares sold 169,295 $2,057,741 905,068 $13,818,831 Shares issued in connection with reinvestment of distributions 1,507,557 18,633,404 4,534,521 69,106,100 .................................................................................................................................. 1,676,852 20,691,145 5,439,589 82,924,931 Shares repurchased (5,469,847) (64,739,147) (9,545,806) (139,432,117) .................................................................................................................................. Net decrease (3,792,995) $(44,048,002) (4,106,217) $(56,507,186) .................................................................................................................................. Putnam VT Vista Fund Shares sold 837,058 $9,052,129 3,892,486 $54,721,076 Shares issued in connection with reinvestment of distributions -- -- 5,560,884 65,507,209 .................................................................................................................................. 837,058 9,052,129 9,453,370 120,228,285 Shares repurchased (5,062,781) (52,941,802) (9,563,229) (121,435,643) .................................................................................................................................. Net decrease (4,225,723) $(43,889,673) (109,859) $(1,207,358) .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IA 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund Shares sold 1,025,809 $28,104,166 3,757,455 $125,187,488 Shares issued in connection with reinvestment of distributions 1,201,522 33,891,280 45,894,802 1,375,008,264 .................................................................................................................................. 2,227,331 61,995,446 49,652,257 1,500,195,752 Shares repurchased (16,104,989) (430,396,101) (33,114,206) (1,086,039,194) .................................................................................................................................. Net increase (decrease) (13,877,658) $(368,400,655) 16,538,051 $414,156,558 .................................................................................................................................. Putnam VT Voyager Fund II Shares sold 639,484 $2,999,203 2,309,778 $13,067,405 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 639,484 2,999,203 2,309,778 13,067,405 Shares repurchased (940,739) (4,161,058) (1,234,200) (6,983,434) .................................................................................................................................. Net increase (decrease) (301,255) $(1,161,855) 1,075,578 $6,083,971 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IB 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund Shares sold 3,272,722 $37,920,170 7,856,031 $88,016,972 Shares issued in connection with reinvestment of distributions 175,673 1,993,894 586 6,516 .................................................................................................................................. 3,448,395 39,914,064 7,856,617 88,023,488 Shares repurchased (546,375) (6,318,100) (2,231,934) (24,974,793) .................................................................................................................................. Net increase 2,902,020 $33,595,964 5,624,683 $63,048,695 .................................................................................................................................. Putnam VT Asia Pacific Growth Fund Shares sold 1,641,141 $8,565,198 21,875,147 $141,615,782 Shares issued in connection with reinvestment of distributions 5,299 28,084 250,481 1,505,387 .................................................................................................................................. 1,646,440 8,593,282 22,125,628 143,121,169 Shares repurchased (1,633,429) (8,606,410) (22,038,121) (143,846,082) .................................................................................................................................. Net increase (decrease) 13,011 $(13,128) 87,507 $(724,913) .................................................................................................................................. Putnam VT Capital Appreciation Fund Shares sold 775,444 $5,679,679 1,187,840 $9,519,924 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 775,444 5,679,679 1,187,840 9,519,924 Shares repurchased (99,237) (703,625) (43,415) (346,089) .................................................................................................................................. Net increase 676,207 $4,976,054 1,144,425 $9,173,835 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IB 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT Diversified Income Fund Shares sold 1,042,720 $8,878,548 3,228,519 $28,714,071 Shares issued in connection with reinvestment of distributions 1,009,343 8,226,156 655,355 5,675,376 .................................................................................................................................. 2,052,063 17,104,704 3,883,874 34,389,447 Shares repurchased (508,818) (4,318,051) (827,494) (7,284,700) .................................................................................................................................. Net increase 1,543,245 $12,786,653 3,056,380 $27,104,747 .................................................................................................................................. Putnam VT George Putnam Fund of Boston Shares sold 2,841,488 $30,109,845 6,214,940 $66,310,186 Shares issued in connection with reinvestment of distributions 363,368 3,866,238 270,670 2,828,500 .................................................................................................................................. 3,204,856 33,976,083 6,485,610 69,138,686 Shares repurchased (252,184) (2,648,959) (434,738) (4,631,331) .................................................................................................................................. Net increase 2,952,672 $31,327,124 6,050,872 $64,507,355 .................................................................................................................................. Putnam VT Global Asset Allocation Fund Shares sold 296,851 $3,918,023 913,717 $13,024,518 Shares issued in connection with reinvestment of distributions 33,605 448,628 184,225 2,437,297 .................................................................................................................................. 330,456 4,366,651 1,097,942 15,461,815 Shares repurchased (180,207) (2,330,630) (387,274) (5,277,047) .................................................................................................................................. Net increase 150,249 $2,036,021 710,668 $10,184,768 .................................................................................................................................. Putnam VT Global Growth Fund Shares sold 992,277 $8,466,208 4,127,227 $50,330,782 Shares issued in connection with reinvestment of distributions 5,664 50,413 2,326,546 23,009,538 .................................................................................................................................. 997,941 8,516,621 6,453,773 73,340,320 Shares repurchased (1,076,853) (9,168,708) (2,160,988) (26,158,394) .................................................................................................................................. Net increase (decrease) (78,912) $(652,087) 4,292,785 $47,181,926 .................................................................................................................................. Putnam VT Growth and Income Fund Shares sold 4,417,872 $101,969,342 11,702,353 $284,867,518 Shares issued in connection with reinvestment of distributions 604,206 14,271,333 648,667 15,379,899 .................................................................................................................................. 5,022,078 116,240,675 12,351,020 300,247,417 Shares repurchased (1,698,364) (38,381,225) (1,995,139) (47,565,791) .................................................................................................................................. Net increase 3,323,714 $77,859,450 10,355,881 $252,681,626 .................................................................................................................................. Putnam VT Growth Opportunities Fund Shares sold 516,285 $2,546,899 3,873,495 $24,053,308 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 516,285 2,546,899 3,873,495 24,053,308 Shares repurchased (495,170) (2,315,018) (735,797) (3,971,111) .................................................................................................................................. Net increase 21,115 $231,881 3,137,698 $20,082,197 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IB 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT Health Sciences Fund Shares sold 2,048,269 $22,855,268 4,821,956 $57,789,181 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 2,048,269 22,855,268 4,821,956 57,789,181 Shares repurchased (664,879) (7,213,642) (1,283,321) (15,524,910) .................................................................................................................................. Net increase 1,383,390 $15,641,626 3,538,635 $42,264,271 .................................................................................................................................. Putnam VT High Yield Fund Shares sold 1,748,029 $13,455,807 8,983,092 $74,838,836 Shares issued in connection with reinvestment of distributions 1,146,656 8,301,787 787,769 6,365,166 .................................................................................................................................. 2,894,685 21,757,594 9,770,861 81,204,002 Shares repurchased (1,116,705) (8,424,542) (5,950,434) (49,585,382) .................................................................................................................................. Net increase 1,777,980 $13,333,052 3,820,427 $31,618,620 .................................................................................................................................. Putnam VT Income Fund Shares sold 3,023,699 $37,659,868 7,088,578 $88,677,137 Shares issued in connection with reinvestment of distributions 698,023 8,376,276 410,872 4,975,666 .................................................................................................................................. 3,721,722 46,036,144 7,499,450 93,652,803 Shares repurchased (171,595) (2,135,501) (464,719) (5,814,115) .................................................................................................................................. Net increase 3,550,127 $43,900,643 7,034,731 $87,838,688 .................................................................................................................................. Putnam VT International Growth Fund Shares sold 56,463,474 $679,242,547 70,643,367 $911,390,877 Shares issued in connection with reinvestment of distributions 170,224 2,098,858 1,694,582 22,554,895 .................................................................................................................................. 56,633,698 681,341,405 72,337,949 933,945,772 Shares repurchased (50,355,795) (610,032,957) (63,091,542) (813,446,556) .................................................................................................................................. Net increase 6,277,903 $71,308,448 9,246,407 $120,499,216 .................................................................................................................................. Putnam VT International Growth and Income Fund Shares sold 1,705,163 $16,663,415 5,584,066 $59,387,384 Shares issued in connection with reinvestment of distributions 22,792 225,636 243,324 2,593,831 .................................................................................................................................. 1,727,955 16,889,051 5,827,390 61,981,215 Shares repurchased (815,518) (7,985,145) (4,322,285) (46,014,714) .................................................................................................................................. Net increase 912,437 $8,903,906 1,505,105 $15,966,501 .................................................................................................................................. Putnam VT International New Opportunities Fund Shares sold 4,061,186 $38,881,443 48,856,494 $552,306,692 Shares issued in connection with reinvestment of distributions 97,289 943,705 -- -- .................................................................................................................................. 4,158,475 39,825,148 48,856,494 552,306,692 Shares repurchased (4,749,558) (45,733,726) (46,041,228) (521,722,239) .................................................................................................................................. Net increase (decrease) (591,083) $(5,908,578) 2,815,266 $30,584,453 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IB 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT Investors Fund Shares sold 1,094,472 $9,624,251 7,273,563 $76,215,949 Shares issued in connection with reinvestment of distributions 38,383 341,611 -- -- .................................................................................................................................. 1,132,855 9,965,862 7,273,563 76,215,949 Shares repurchased (1,423,548) (12,083,039) (1,802,009) (17,583,425) .................................................................................................................................. Net increase (decrease) (290,693) $(2,117,177) 5,471,554 $58,632,524 .................................................................................................................................. Putnam VT Money Market Fund* Shares sold -- $96,154,652 -- $1,117,962,552 Shares issued in connection with reinvestment of distributions -- 941,188 -- 4,731,044 .................................................................................................................................. -- 97,095,840 -- 1,122,693,596 Shares repurchased -- (101,194,670) -- (1,070,337,071) .................................................................................................................................. Net increase (decrease) -- $(4,098,830) -- $52,356,525 .................................................................................................................................. Putnam VT New Opportunities Fund Shares sold 388,555 $6,014,561 3,444,034 $73,639,553 Shares issued in connection with reinvestment of distributions -- -- 2,183,148 37,593,823 .................................................................................................................................. 388,555 6,014,561 5,627,182 111,233,376 Shares repurchased (701,659) (10,370,404) (1,323,312) (25,789,903) .................................................................................................................................. Net increase (decrease) (313,104) $(4,355,843) 4,303,870 $85,443,473 .................................................................................................................................. Putnam VT New Value Fund Shares sold 2,145,911 $28,272,492 4,872,659 $65,159,898 Shares issued in connection with reinvestment of distributions 275,435 3,693,573 117,310 1,533,244 .................................................................................................................................. 2,421,346 31,966,065 4,989,969 66,693,142 Shares repurchased (163,736) (2,074,755) (677,761) (9,035,476) .................................................................................................................................. Net increase 2,257,610 $29,891,310 4,312,208 $57,657,666 .................................................................................................................................. Putnam VT OTC & Emerging Growth Fund Shares sold 919,915 $5,242,586 6,412,943 $48,317,542 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 919,915 5,242,586 6,412,943 48,317,542 Shares repurchased (770,965) (4,300,488) (3,941,864) (28,427,592) .................................................................................................................................. Net increase 148,950 $942,098 2,471,079 $19,889,950 .................................................................................................................................. Putnam VT Research Fund Shares sold 1,421,190 $14,936,682 5,101,844 $61,403,080 Shares issued in connection with reinvestment of distributions 56,902 612,834 437,753 4,902,842 .................................................................................................................................. 1,478,092 15,549,516 5,539,597 66,305,922 Shares repurchased (253,986) (2,564,031) (798,094) (9,895,966) .................................................................................................................................. Net increase 1,224,106 $12,985,485 4,741,503 $56,409,956 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IB 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT Small Cap Value Fund Shares sold 7,810,755 $123,519,728 7,819,762 $109,291,962 Shares issued in connection with reinvestment of distributions 113,199 1,833,837 17,873 230,378 .................................................................................................................................. 7,923,954 125,353,565 7,837,635 109,522,340 Shares repurchased (1,718,469) (26,818,517) (1,511,613) (20,375,173) .................................................................................................................................. Net increase 6,205,485 $98,535,048 6,326,022 $89,147,167 .................................................................................................................................. Putnam VT Technology Fund Shares sold 2,067,847 $8,390,980 3,837,088 $18,273,329 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 2,067,847 8,390,980 3,837,088 18,273,329 Shares repurchased (1,625,438) (6,456,422) (1,981,596) (8,482,982) .................................................................................................................................. Net increase 442,409 $1,934,558 1,855,492 $9,790,347 .................................................................................................................................. Putnam VT Utilities Growth and Income Fund Shares sold 293,421 $3,569,443 1,992,577 $30,320,638 Shares issued in connection with reinvestment of distributions 141,613 1,746,082 279,834 4,256,277 .................................................................................................................................. 435,034 5,315,525 2,272,411 34,576,915 Shares repurchased (357,775) (4,127,003) (365,913) (5,507,229) .................................................................................................................................. Net increase 77,259 $1,188,522 1,906,498 $29,069,686 .................................................................................................................................. Putnam VT Vista Fund Shares sold 1,499,333 $16,128,651 9,733,895 $133,898,299 Shares issued in connection with reinvestment of distributions -- -- 2,687,073 31,573,112 .................................................................................................................................. 1,499,333 16,128,651 12,420,968 165,471,411 Shares repurchased (1,756,539) (18,201,257) (1,721,644) (21,153,617) .................................................................................................................................. Net increase (decrease) (257,206) $(2,072,606) 10,699,324 $144,317,794 .................................................................................................................................. Putnam VT Voyager Fund Shares sold 1,274,667 $34,980,798 4,542,624 $154,838,723 Shares issued in connection with reinvestment of distributions 94,489 2,654,199 3,496,528 104,371,355 .................................................................................................................................. 1,369,156 37,634,997 8,039,152 259,210,078 Shares repurchased (623,731) (16,337,696) (1,153,790) (37,281,729) .................................................................................................................................. Net increase 745,425 $21,297,301 6,885,362 $221,928,349 .................................................................................................................................. Six months ended June 30 Year ended December 31 ---------------------------------------------------------------------------------------------------------------------------------- Class IB 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II Shares sold 5,192,348 $24,243,542 4,046,989 $20,964,298 Shares issued in connection with reinvestment of distributions -- -- -- -- .................................................................................................................................. 5,192,348 24,243,542 4,046,989 20,964,298 Shares repurchased (4,119,975) (19,083,473) (1,648,407) (8,199,892) .................................................................................................................................. Net increase 1,072,373 $5,160,069 2,398,582 $12,764,406 .................................................................................................................................. *Putnam VT Money Market Fund transactions in capital shares were at a constant net asset value of $1.00 per share. At June 30, 2002, Putnam Investments, LLC owned: 199,900 Class IA shares of Putnam VT Capital Appreciation Fund (10.3% of Class IA shares outstanding) valued at $1,319,340; and 99,900 Class IA shares of Putnam VT Technology Fund (3.2% of Class IA shares outstanding) valued at $301,698.
NOTE 5 ACTIONS BY TRUSTEES On April 15, 2002, the Trustees approved the merger of Putnam VT Asia Pacific Growth Fund into Putnam VT International Growth Fund and the merger of Putnam VT Technology Fund into Putnam VT Voyager Fund II. The transactions are scheduled to occur in October 2002. The mergers are subject to a number of conditions and there is no guarantee it will occur.
Management Team Members Investment Management Subaccount Team Team Members --------------------------------------------------------------------------------------------------------------------------------- American Government Income Core Fixed Income Kevin Cronin (Portfolio Leader), Rob Bloemker (Portfolio Member), Carl Bell, Andrea Burke, D. William Kohli, KrishnaMemani, James Prusko, Michael Salm, John VanTassel, David Waldman Asia Pacific Growth International Core Simon Davis (Portfolio Leader), Carmel Peters (Portfolio Member), George Stairs (Portfolio Member), Omid Kamshad, Joshua Byrne, Daniel Grana, Pamela Holding, Nicholas Melhuish, Stephen Oler Capital Appreciation U.S. Core and Michael Nance (Portfolio Leader), Joseph Joseph U.S. Small and (Portfolio Member), Paul Warren, Richard Cervone, Mid Cap Core Kevin Divney, Richard England, Paul Marrkand, Justin Scott, Michael Stack, Manuel Weiss, James Wiess, Tinh Bui, Ronald Hua, Gerald Moore Diversified Income Core Fixed Income and D. William Kohli (Portfolio Leader), David Waldman Core Fixed Income (Portfolio Member), Stephen Peacher (Portfolio Member), High Yield Kevin Cronin, Rob Bloemker, Carl Bell, Andrea Burke, Krishna Memani, James Prusko, Michael Salm, John VanTassel, Jeffrey Kaufman, Geoffrey Kelley, Neal Reiner, Paul Scanlon, Rosemary Thomsen, Joseph Towell George Putnam Large Cap Value, Jeanne Mockard (Portfolio Leader), Jeff Knight (Portfolio Core Fixed Income, and Member), James Prusko (Portfolio Member), Global Asset Allocation Deborah Kuenstner, Michael Abata, Bartlett Geer, David L. King, Cole Lannum, Christopher Miller, Hugh Mullin, Kevin Cronin, Carl Bell, Rob Bloemker, Andrea Burke, D. William Kohli, Krishna Memani, Michael Salm, John VanTassel, David Waldman, Robert Kea, Robert Schoen, Graham Spiers Global Asset Allocation Global Asset Allocation Jeff Knight (Portfolio Leader), Robert Kea (Portfolio Member), Robert Schoen (Portfolio Member), Graham Spiers (Portfolio Member) Global Growth Global Core Paul Warren (Portfolio Leader), Geirulv Lode (Portfolio Member), Shigeki Makino (Portfolio Member), Sandy Mehta (Portfolio Member), Omid Kamshad, Justin Scott Growth and Income Large Cap Value Hugh Mullin (Portfolio Leader), David L. King (Portfolio Member), Christopher Miller (Portfolio Member), Deborah Kuenstner, Michael Abata, Bartlett Geer, Cole Lannum, Jeanne Mockard Growth Opportunities Large Cap Growth Brian O'Toole (Portfolio Leader), Jeffrey Lindsey (Portfolio Member), David Santos (Portfolio Member), Tony Elavia, Lee Montag Health Sciences Health Sciences Kelly Morgan (Portfolio Leader), Nathan Eigerman (Portfolio Member), Terry Norchi (Portfolio Member), Willam Landes High Yield Core Fixed Income Stephen Peacher (Portfolio Leader), Paul Scanlon High Yield (Portfolio Member), Rosemary Thomsen (Portfolio Member), Jeffrey Kaufman, Geoffrey Kelley, Krishna Memani, Neal Reiner, Joseph Towell Income Core Fixed Income Kevin Cronin (Portfolio Leader), James Prusko (Portfolio Member), Rob Bloemker, Carl Bell, Andrea Burke, D. William Kohli, Krishna Memani, Michael Salm, John VanTassel, David Waldman International Growth International Core Omid Kamshad (Portfolio Leader), Joshua Byrne (Portfolio Member), Simon Davis (Portfolio Member), Stephen Oler (Portfolio Member), George Stairs (Portfolio Member), Carmel Peters, Daniel Grana, Pamela Holding, Nicholas Melhuish International Growth International Value Colin Moore (Portfolio Leader), Pamela Holding (Portfolio and Income Member), George Stairs (Portfolio Member), Omid Kamshad International New Opportunities International Growth Stephen Dexter (Portfolio Leader), Nathan Eigerman (Portfolio Member), Peter Hadden (Portfolio Member), Omid Kamshad Investors U.S. Core Paul Warren (Portfolio Leader), Richard Cervone (Portfolio Member), Kevin Divney (Portfolio Member), Paul Marrkand (Portfolio Member), James Wiess (Portfolio Member), Richard England, Michael Nance, Justin Scott, Michael Stack, Manuel Weiss Money Market Core Fixed Income Joanne Driscoll (Portfolio Leader), James Prusko Money Market (Portfolio Member), Kevin Cronin New Opportunities Large Cap Growth and Daniel Miller (Portfolio Leader), Brian O'Toole Specialty Growth (Portfolio Member), Jeffrey Lindsey (Portfolio Member), Kenneth Doerr (Portfolio Member), Tony Elavia, Lee Montag, David Santos, EricWetlaufer, Dana Clark, Roland Gillis, Michael Mufson, Margery Parker, Anthony Sellitto, Richard Weed New Value Large Cap Value David L. King (Portfolio Leader), Michael Abata (Portfolio Member), Deborah Kuenstner, Bartlett Geer, Cole Lannum, Christopher Miller, Jeanne Mockard, Hugh Mullin OTC & Emerging Growth Specialty Growth Roland Gillis (Portfolio Leader), Michael Mufson (Portfolio Member), Daniel Miller, Eric Wetlaufer, Dana Clark, Kenneth Doerr, Margery Parker, Anthony Sellitto, Richard Weed Research Global Equity Research Steve Gorman (Portfolio Leader), James Wiess and U.S. Core (Portfolio Member), William Landes, Global Equity Research Analysts Small Cap Value Small and Mid Cap Value Edward Shadek (Portfolio Leader), Sheldon Simon (Portfolio Member), Paul Haagensen, Eric Harthun, Thomas Hoey, Francis Perfetuo, James Polk Technology Technology Paul Marrkand (Portfolio Leader), Saba Malak (Portfolio Member), Kenneth Doerr (Portfolio Member), William Landes. Utilities Growth and Income Utilities Michael Yogg (Portfolio Leader), Stephen Balter (Portfolio Member), Krishna Memani (Portfolio Member), William Landes Vista Specialty Growth Eric Wetlaufer (Portfolio Leader), Dana Clark (Portfolio Member), Kenneth Doerr (Portfolio Member), Margery Parker (Portfolio Member), Daniel Miller, Roland Gillis, Michael Mufson, Anthony Sellitto, Richard Weed Voyager Large Cap Growth and Brian O'Toole (Portfolio Leader), Tony Elavia Specialty Growth (Portfolio Member), Jeffrey Lindsey (Portfolio Member), Eric Wetlaufer (Portfolio Member), Lee Montag, David Santos, Dana Clark, Kenneth Doerr, Roland Gillis, Michael Mufson, Margery Parker, Anthony Sellitto, Richard Weed, Daniel Miller Voyager II Large Cap Growth and Roland Gillis (Portfolio Leader), David Santos Specialty Growth (Portfolio Member), Daniel Miller (Portfolio Member), Richard Weed (Portfolio Member), Brian O'Toole, Tony Elavia, Jeffrey Lindsey, Lee Montag, Eric Wetlaufer, Dana Clark, Kenneth Doerr, Michael Mufson, Margery Parker, Anthony Sellitto
TWO VT FUNDS SCHEDULED FOR MERGERS This year's economic and market climate has given Putnam pause and after lengthy discussions and working sessions between Management and the Board of Trustees, your Trustees have agreed to merge two of the VT funds into other VT funds. The intent of the mergers is to provide policyholders with more focused products that will play a consistent role in a broader investment plan. Completion of the mergers is subject to a number of conditions, including the approval of shareholders. If the mergers are approved, shareholders are expected to benefit from potentially lower expenses provided by a larger asset base of the merged funds. We encourage you to vote on this important matter by returning your completed proxy material. You may call 1-800-225-1581 or visit www.sec.gov for a free copy of the prospectus/proxy statement. Please read this important information carefully. - Putnam VT Asia Pacific Growth Fund to merge into Putnam VT International Growth Fund Asia Pacific markets have proven to be extremely volatile in the past several years, a trend exacerbated by the continuing economic slump in Japan. This fund has experienced significant volatility, and is now relatively small. Policy holders of Putnam VT Asia Pacific Growth Fund are expected to benefit from potentially lower expenses of a larger fund. Putnam VT International Growth Fund does not concentrate its investments in any particular geographic region, but it is expected to provide exposure to Asian and Pacific Basin markets. In addition, Putnam VT International Growth Fund is more broadly diversified, helping to reduce volatility. -- Putnam VT Technology Fund to merge into Putnam VT Voyager Fund II Putnam VT Technology Fund and Putnam VT Voyager Fund II have similar strategies-- investing in dynamic companies with high-growth potential. This merger will not deprive investors of opportunities to invest in technology at Putnam, as investors can still seek technology exposure through Putnam VT Voyager Fund II and other Putnam growth funds. We remain committed to technology as a driving force behind productivity and economic growth, but we believe its impact on the economy is a long-term, evolutionary process. In addition to a more diversified portfolio with potentially lower volatility, we believe Putnam VT Technology Fund policy holders should also benefit from the economies of scale and lower expenses provided by a larger fund. THIS PAGE LEFT BLANK INTENTIONALLY THIS PAGE LEFT BLANK INTENTIONALLY THIS PAGE LEFT BLANK INTENTIONALLY Putnam Variable Trust FUND INFORMATION Investment Manager Putnam Investment Management, LLC One Post Office Square Boston, MA 02109 Marketing Services Putnam Retail Management One Post Office Square Boston, MA 02109 Investor Servicing Agent Putnam Investor Services Mailing address: P.O. Box 41203 Providence, RI 02940-1203 1-800-225-1581 Custodian Putnam Fiduciary Trust Company Legal counsel Ropes & Gray Trustees John A. Hill, Chairman, George Putnam, III, President Jameson Adkins Baxter, Charles B. Curtis, Ronald J. Jackson, Paul L. Joskow, Elizabeth T. Kennan, Lawrence J. Lasser, John H. Mullin III, Robert E. Patterson, A.J.C. Smith, W. Thomas Stephens, W. Nicholas Thorndike PUTNAM INVESTMENTS This report has been prepared for the shareholders of Putnam Variable Trust. It is not authorized for other distribution unless preceded or accompanied by an effective prospectus that describes the trust's policies, charges, and other matters of interest for the prospective investor. SA505 85137 8/02